GlobalManagedVolatilityFund · 2020. 8. 26. · x I nv estm (o-dr iaf cl ) $ 642,319 $ 6 97,3 x Ca...

Global Managed Volatility Fund

(The accompanying notes are an integral part of these financial statements)

1

Semi-Annual Report (unaudited)

FortheperiodendedJune30,2020

Statements of Financial Position

AS AT JUNE 30, 2020 (UNAUDITED) AND DECEMBER 31, 2019

(inthousandsofdollarsexceptperunitdata)

2020

2019

x

x

ASSETS

x

CurrentAssets

x

Investments(non-derivativefinancialassets)

$ 642,319

$ 697,939

x

Cashincludingforeigncurrencyholdings

19,145

19,940

x

Accrueddividendsreceivable

2,858

2,444

x

Marginreceivableonfutures

919

1,329

x

Receivableforportfoliosecuritiessold

2,584

—

x

Receivableforunitsubscriptions

267

757

x

Prepaidexpenses

108

69

x

Derivativeassets

182

97

x

x

x

668,382

722,575

x

x

x

LIABILITIES

x

CurrentLiabilities

x

Accruedliabilities

281

287

x

Payableforportfoliosecuritiespurchased

5,328

—

x

Payableforunitredemptions

346

770

x

Derivativeliabilities

47

9

x

x

x

6,002

1,066

x

x

x

NETASSETSATTRIBUTABLETOHOLDERSOF

REDEEMABLEUNITS $ 662,380

$ 721,509

x

x

x

NETASSETSATTRIBUTABLETOHOLDERSOFREDEEMABLEUNITSPERCLASS(note5)

x

(ClassE) $ 9,821

$ 11,121

x

(ClassF) $ 3,218

$ 3,091

x

(ClassFC)** $ 16,022

$ 16,598

x

(ClassO) $ 633,319

$ 690,686

x

(ClassS)† $ —

$ 13

x

(ClassZ)* $ —

$ —

x

x

x

NETASSETSATTRIBUTABLETOHOLDERSOFREDEEMABLEUNITSPERUNIT

x

(ClassE) $ 16.81

$ 18.89

x

(ClassF) $ 18.45

$ 20.63

x

(ClassFC)** $ 17.97

$ 20.09

x

(ClassO) $ 18.17

$ 20.24

x

(ClassS)† $ —

$ 18.44

x

(ClassZ)* $ —

$ —

x

x

x

* ClassZunitswereterminatedasofendofdayJuly2,2019,seeNote5.

x

** ClassFCunitscommencedonJuly2,2019,seeNote5

x

†ClassSunitswereterminatedasofendofdayJune17,2020,seeNote5.

Statements of Comprehensive Income (Loss)

FOR THE PERIODS ENDED JUNE 30, 2020 AND 2019 (UNAUDITED)


2020

2019

INCOME

NET GAIN (LOSS) ON INVESTMENTS AND DERIVATIVES

x

Dividends

$ 13,064

$ 12,997

x

Interestfordistributionpurposes

—

1

x

Derivativeincome(loss)

(1,791)

706

x

Netrealizedgain(loss)onsaleofinvestments

(12,920)

882

x

Foreignexchangegain(loss)onforeigncurrency

translation

(363)

14

x

Netchangeinunrealizedappreciation(depreciation)

onforeignexchange

51

(50)

x

Netchangeinunrealizedappreciation(depreciation)of

investmentsandderivatives

(70,621)

17,707

x

x

x

(72,580)

32,257

x

Foreignexchangegain(loss)oncash

248

(74)

x

x

x

TOTALINCOME(NET) (72,332)

32,183

x

x

EXPENSES

x

Custodianandadministrationfees

381

416

x

Legalfees

23

26

x

Auditfees

14

17

x

Interestexpense

25

10

x

Managementfees(note7)

172

165

x

Trusteefees

12

13

x

Independentreviewcommitteefees(note7)

2

2

x

Transactioncosts

103

127

x

Securityholderreportingcosts

22

24

x

Foreignwithholdingtaxes

1,413

1,403

x

x

x

TOTALEXPENSES 2,167

2,203

x

Waivedexpenses(note7)

(2)

(9)

x

x

x

NETEXPENSES 2,165

2,194

x

x

x

INCREASE(DECREASE)INNETASSETS

ATTRIBUTABLETOHOLDERSOFREDEEMABLE

UNITS $ (74,497)

$ 29,989

x

x

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS PER CLASS

x

(ClassE) $ (1,395)

$ 465

x

(ClassF) $ (364)

$ 355

x

(ClassFC)** $ (1,864)

$ —

x

(ClassO) $ (70,873)

$ 29,167

x

(ClassS)† $ (1)

$ 1

x

(ClassZ)* $ —

$ 1

x

x

AVERAGE NUMBER OF UNITS OUTSTANDING FOR THE PERIOD PER CLASS

x

(ClassE) 608

656

x

(ClassF) 171

629

x

(ClassFC)** 885

—

x

(ClassO) 34,797

33,875

x

(ClassS)† 1

1

x

(ClassZ)* —

1

x

x

INCREASE (DECREASE) IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF

REDEEMABLE UNITS PER UNIT^

x

(ClassE) $ (2.29)

$ 0.71

x

(ClassF) $ (2.12)

$ 0.56

x

(ClassFC)** $ (2.11)

$ —

x

(ClassO) $ (2.04)

$ 0.86

x

(ClassS)† $ (1.75)

$ 0.61

x

(ClassZ)* $ —

$ 0.84

x

x

x

^ Basedontheweightedaveragenumberofunitsoutstandingduringtheperiod.

x


x

†ClassSunitswereterminatedasofendofdayJune17,2020,seeNote5.

x

** ClassFCunitscommencedonJuly2,2019,seeNote5.



2

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units



x

Fund Total

2020 2019

x

x

x

x


REDEEMABLEUNITSATBEGINNINGOFPERIOD $ 721,509 $ 658,060

x

x

x



UNITS (74,497) 29,989

x

x

x

DISTRIBUTIONSTOHOLDERSOFREDEEMABLE

UNITS

x

x

x

— —

x

x

x

CAPITALUNITTRANSACTIONS

x

Proceeds fromissueofunits 51,584 43,454

x

Paymentsonredemptionofunits (36,216) (49,246)

x

x

x

15,368 (5,792)

x

x

x

CHANGESINNETASSETATTRIBUTABLETO

HOLDERSOFREDEEMABLEUNITS (59,129) 24,197

x

x

x


REDEEMABLEUNITS ATENDOFPERIOD $ 662,380 $ 682,257

x

xx

Class E Class F

2020 2019 2020 2019

x

x

x

x


REDEEMABLEUNITSATBEGINNINGOFPERIOD $ 11,121 $ 12,557 $ 3,091 $ 9,240

x

x

x



UNITS (1,395) 465 (364) 355

x

x

x


UNITS

x

x

x

— — — —

x

x

x


x

Proceeds fromissueofunits 1,416 317 1,105 6,624

x

Paymentsonredemptionofunits (1,321) (2,759) (614) (1,006)

x

Reinvestmentofdistributions — — — —

x

x

x

95 (2,442) 491 5,618

x

x

x


HOLDERSOFREDEEMABLEUNITS (1,300) (1,977) 127 5,973

x

x

x


REDEEMABLEUNITS ATENDOFPERIOD $ 9,821 $ 10,580 $ 3,218 $ 15,213

x

x



3

Statements of Changes in Net Assets Attributable to Holders of Redeemable Units



x

Class FC** Class O

2020 2019 2020 2019

x

x

x

x


REDEEMABLEUNITSATBEGINNINGOFPERIOD $ 16,598 $ — $ 690,686 $ 636,240

x

x

x



UNITS (1,864) — (70,873) 29,167

x

x

x


UNITS

x

x

x

— — — —

x

x

x


x

Proceeds fromissueofunits 2,639 — 46,424 36,513

x

Paymentsonredemptionofunits (1,351) — (32,918) (45,481)

x

x

x

1,288 — 13,506 (8,968)

x

x

x


HOLDERSOFREDEEMABLEUNITS (576) — (57,367) 20,199

x

x

x


REDEEMABLEUNITS ATENDOFPERIOD $ 16,022 $ — $ 633,319 $ 656,439

x

xx

Class S† Class Z*

2020 2019 2020 2019

x

x

x

x


REDEEMABLEUNITSATBEGINNINGOFPERIOD $ 13 $ 11 $ — $ 12

x

x

x



UNITS (1) 1 — 1

x

x

x


UNITS

x

x

x

— — — —

x

x

x


x

Paymentsonredemptionofunits (12) — — —

x

x

x

(12) — — —

x

x

x


HOLDERSOFREDEEMABLEUNITS (13) 1 — 1

x

x

x


REDEEMABLEUNITS ATENDOFPERIOD $ — $ 12 $ — $ 13

x

x

x


x

†ClassSunitswere terminatedasofendofdayJune17,2020,seeNote5.

x

** ClassFCunitscommencedonJuly2,2019,seeNote5.



4

Statements of Cash Flows



2020 2019

x

x

CASHFLOWSFROMOPERATINGACTIVITIES

x

Increase (Decrease) inNetAssetsAttributable toHolderofRedeemableUnits $ (74,497) $ 29,989

x

Adjustments for:

x

Foreignexchange (gain) lossoncash (88) 198

x

Netrealized(gain) lossonsaleof investments 12,920 (882)

x

Netchange inunrealized(appreciation)depreciationof investmentsandderivatives 70,621 (17,707)

x

Purchasesof investments (126,720) (108,439)

x

Proceeds fromthesaleof investments 101,496 105,555

x

Marginreceivableonfutures 410 (356)

x

Dividends receivable (414) (269)

x

Otherassets (39) (3)

x

Other liabilities (6) (6)

x

x

x

(16,317) 8,080

x

x

x

CASHFLOWSUSEDINFINANCINGACTIVITIES

x

Amountreceivedfromthe issuanceofunits* 52,017 35,236

x

Amountpaidonredemptionsofunits* (36,583) (41,630)

x

x

x

15,434 (6,394)

x

x

x

Increase (decrease) incashduring theperiod (883) 1,686

x

Foreignexchangegain(loss)oncash 88 (198)

x

CashatBeginningofPeriod 19,940 9,837

x

x

x

CashatEndofPeriod 19,145 11,325

x

x

x

CASHFLOWSINCLUDEDINOPERATINGACTIVITIES

x

Interest received — 1

x

Dividends received,netofwithholding taxes 11,237 11,325

x

Interestpaid 25 10

x

* Non-cashtransfersof$56,692wereexcludedfromproceedsfromissue/paymentonredemptionsfortheperiodendedJune30,2020.


Schedule of Investment Portfolio

AS AT JUNE 30, 2020 (UNAUDITED)

Numberof

Shares AverageCost$ FairValue$

EQUITIES-97.0%

x

Australia -1.4%

x

AGLEnergyLtd. 257,900 4,921,579 4,145,827

x

CentaminPLC 73,585 164,050 228,130

x

Coca-ColaAmatilLtd. 180,400 1,613,526 1,476,563

x

EvolutionMiningLtd. 41,914 149,208 226,251

x

NewcrestMiningLtd. 85,055 2,028,848 2,562,798

x

RegisResourcesLtd. 150,993 505,148 750,799

x

x

x

9,382,359 9,390,368

x

x

Austria -0.2%

x

EVNAG 34,300 788,532 789,321

x

OberbankAG 1,755 175,326 224,878

x

TelekomAustriaAG 17,789 119,728 167,316

x

x

x

1,083,586 1,181,515

x

x

Belgium-0.3%

x

AgeasSA/NV 38,300 2,569,856 1,848,124

x

x

x

2,569,856 1,848,124

x

x

Bermuda-0.5%

x

AxisCapitalHoldingsLtd. 46,900 2,530,637 2,590,884

x

GenpactLtd. 7,353 390,618 365,740

x

OceanWilsonsHoldingsLtd. 7,888 136,169 89,171

x

x

x

3,057,424 3,045,795

x

x

Brazil -0.2%

x

CompanhiadeTransmissaode

EnergiaEletricaPaulista,

Preferred 123,182 848,396 640,137

x

FIIBTGPactualCorporateOffice

Fund,Rights,2020/07/13 347 – 497

x

NeoenergiaSA 87,700 598,386 418,549

x

x

x

1,446,782 1,059,183

x

x

Canada -4.6%

x

ATCOLtd.,Class 'I' 19,192 949,198 772,862

x

BankofMontreal 14,600 1,216,566 1,054,996

x

BCEInc. 36,465 1,945,294 2,064,648

x

BMTCGroupInc. 1,100 17,817 8,525

x

CanadianImperialBankof

Commerce 14,800 1,454,154 1,342,952

x

CanadianTireCorp.Ltd.,Class 'A' 22,100 3,394,168 2,599,844

x

CanadianUtilitiesLtd.,Class 'A' 18,100 694,279 611,780

x

CenterraGoldInc. 16,000 141,320 242,400

x

CogecoCommunications Inc. 19,300 1,402,309 1,887,733

x

Fortis Inc. 37,600 1,897,037 1,941,288

x

GeorgeWestonLtd. 19,600 2,084,529 1,949,220

x

Great-WestLifeco Inc. 97,300 3,098,171 2,315,740

x

LoblawCos.Ltd. 61,400 3,312,457 4,059,154

x

MagnaInternational Inc. 13,400 959,876 810,164

x

NationalBankofCanada 23,500 1,216,318 1,445,720

x

TELUSCorp. 241,200 5,736,297 5,492,124

x

Toronto-DominionBank (The) 27,000 1,723,120 1,635,930

x

x

x

31,242,910 30,235,080

x

x

Numberof


China -1.9%

x

BankofChinaLtd.,Class 'H' 2,050,000 1,184,550 1,034,293

x

BankofChongqingCo.Ltd.,Class

'H' 175,500 127,703 120,072

x

BankofCommunicationsCo.Ltd.,

Class 'H' 1,820,000 1,641,979 1,534,836

x

ChinaCiticBank,Class 'H' 932,000 832,663 556,258

x

ChinaMinshengBankingCorp.

Ltd.,Series 'H' 2,067,500 1,978,964 1,938,390

x

ChinaTelecomCorp.Ltd.,Series

'H' 4,954,000 3,043,406 1,895,321

x

HuijingHoldingsCo.Ltd. 286,000 104,036 103,172

x

IndustrialandCommercialBankof

China,Class 'H' 2,215,000 2,020,287 1,823,892

x

LuthaiTextileCo.Ltd.,Class 'B' 103,456 124,582 83,587

x

People's InsuranceCo. (Group)of

ChinaLtd. 2,899,000 1,306,962 1,157,889

x

QinglingMotorsCo.Ltd. 336,000 91,714 83,555

x

ShenzhenExpresswayCo.Ltd.,

Class 'H' 1,048,000 1,103,400 1,450,456

x

ZhaojinMining IndustryCo.Ltd.,

Series 'H' 336,500 540,780 544,351

x

x

x

14,101,026 12,326,072

x

x

Colombia -0.1%

x

EmpresadeTelecomunicaciones

deBogotaSA 295,746 73,124 22,945

x

GrupoNutresaSA 68,720 792,690 523,141

x

x

x

865,814 546,086

x

x

Curacao -0.0%

x

RetailHoldingsNV 1,486 40,161 2,226

x

x

x

40,161 2,226

x

x

Cyprus -0.3%

x

Polymetal InternationalPLC 72,020 1,190,463 1,958,313

x

x

x

1,190,463 1,958,313

x

x

CzechRepublic -0.0%

x

PhilipMorrisCRAS 198 164,840 151,393

x

x

x

164,840 151,393

x

x

Denmark -0.2%

x

ScandinavianTobaccoGroupAS 71,200 1,455,940 1,431,244

x

x

x

1,455,940 1,431,244

x

x

Finland-0.0%

x

ElisaOYJ 4 244 332

x

OlviOYJ 1,744 82,229 112,534

x

x

x

82,473 112,866

x

x




Numberof


France -2.0%

x

CompagnieGénéraledes

ÉtablissementsMichelin,Series

'B',Registered 12,600 2,025,511 1,788,208

x

CreditAgricoleduLanguedoc 402 34,798 37,851

x

CreditAgricole IledeFrance 464 61,482 52,778

x

CreditAgricoleSudRhoneAlpes 63 15,776 15,808

x

DamartexSA 117 5,223 2,081

x

Engie 171,028 3,539,322 2,888,009

x

GPEGroupePizzornoEnvironment 208 11,127 6,368

x

ManutanInternational 324 25,961 25,584

x

Sanofi 32,200 3,636,133 4,471,288

x

SavenciaSA 438 37,049 36,215

x

SocieteBICSA 17,700 1,331,505 1,227,141

x

SocieteFonciereLyonnaiseSA 108 7,478 11,752

x

SocieteLDCSA 377 46,175 60,287

x

TOTALSA 34,100 2,774,600 1,790,257

x

VeoliaEnvironnementSA 34,115 1,091,795 1,048,899

x

x

x

14,643,935 13,462,526

x

x

Germany -0.4%

x

DeutscheTelekomAG,Registered 69,754 1,506,820 1,593,614

x

SchlossWachenheimAG 803 18,845 17,999

x

TalanxAG 21,800 939,326 1,103,125

x

x

x

2,464,991 2,714,738

x

x

Greenland-0.0%

x

GronlandsBANKENAS 181 23,928 19,348

x

x

x

23,928 19,348

x

x

Guernsey -0.0%

x

DoricNimrodAirThreeLtd. 35,840 68,721 21,107

x

DoricNimrodAirTwoLtd.,

Preferred 35,728 131,481 37,881

x

DPAircraft ILtd. 19,331 26,874 3,815

x

SummitPropertiesLtd. 9,196 12,716 8,441

x

x

x

239,792 71,244

x

x

HongKong -1.9%

x

ChinaMobileLtd. 919,000 9,740,106 8,451,460

x

ChinaMotorBusCo.Ltd. 2,000 42,797 32,804

x

ChinaStarchHoldingsLtd. 510,000 27,016 10,977

x

ChinaUnicomLtd. 2,182,000 1,848,674 1,617,000

x

CLPHoldingsLtd. 57,000 803,925 762,467

x

ConvenienceRetailAsiaLtd. 84,000 56,736 54,050

x

DairyFarmInternationalHoldings

Ltd. 5,500 34,692 35,003

x

GoldlionHoldingsLtd. 17,000 9,827 4,822

x

HKElectric Investments&HK

Electric InvestmentsLtd. 25,500 33,376 36,075

x

HKTTrustandHKTLtd. 290,000 613,355 579,625

x

PCCWLtd. 124,000 101,058 96,565

x

TianjinDevelopmentHoldingsLtd. 134,000 42,595 41,169

x

Vinda InternationalHoldingsLtd. 82,000 328,775 401,203

x

WingOnCo. InternationalLtd. 3,000 13,234 9,267

Numberof


x

YueYuenIndustrialHoldingsLtd. 336,500 1,356,604 698,597

x

x

x

15,052,770 12,831,084

x

x

Hungary -0.1%

x

MagyarTelekom

TelecommunicationsPLC,

Registered 15,554 32,011 25,701

x

MOLHungarianOil&GasPLC 100,400 1,104,659 807,448

x

x

x

1,136,670 833,149

x

x

India -0.9%

x

AartiDrugsLtd. 12,122 122,177 278,897

x

AlkemLaboratoriesLtd. 5,756 222,394 246,134

x

CESCLtd. 4,685 68,049 52,594

x

HindustanUnileverLtd. 16,904 654,026 665,620

x

IndianOilCorp.Ltd. 434,400 1,283,369 670,472

x

J.B.Chemicals&Pharmaceuticals

Ltd. 9,325 69,150 118,837

x

OilandNaturalGasCorp.Ltd. 377,588 1,226,868 558,418

x

Oil IndiaLtd. 815,600 2,729,818 1,385,171

x

PowerGridCorp.of IndiaLtd. 427,200 1,525,627 1,349,528

x

Sanofi IndiaLtd. 3,044 397,993 432,501

x

SJVNLtd. 789,760 382,357 310,675

x

VSTIndustriesLtd. 1,603 120,721 90,816

x

x

x

8,802,549 6,159,663

x

x

Indonesia -0.0%

x

PTMetropolitanKentjanaTBK 5,433 9,632 8,185

x

PTMultipolarTechnologyTBK 358,200 48,228 21,240

x

x

x

57,860 29,425

x

x

Ireland-0.5%

x

JazzPharmaceuticalsPLC 5,017 1,156,919 753,970

x

MedtronicPLC 14,451 2,148,252 1,804,863

x

STERISPLC 4,987 771,717 1,042,210

x

x

x

4,076,888 3,601,043

x

x

Israel -0.9%

x

BankHapoalimLtd. 3,453 24,017 28,139

x

BankLeumiLe Israel 176,147 823,087 1,207,304

x

CheckPointSoftwareTechnologies

Ltd. 13,641 2,063,170 1,995,946

x

F.I.B.I.HoldingsLtd. 592 22,338 19,692

x

GanShmuelFoodIndustries 2,699 35,516 22,796

x

IsracardLtd. 171 745 530

x

Malam-TeamLtd. 12 1,054 3,274

x

MinravProjectsLtd. 7,280 11,541 18,329

x

MizrahiTefahotBankLtd. 52,400 992,147 1,342,191

x

NetoMalindaTradingLtd. 484 11,611 10,170

x

RADWARELtd. 5,310 170,559 170,608

x

ShufersalLtd. 15,857 135,090 141,217

x

StraussGroupLtd. 8,778 322,052 331,773

x

TaroPharmaceutical Industries

Ltd. 7,424 1,123,382 672,313

x

x

x

5,736,309 5,964,282

x

x




Numberof


Italy -1.1%

x

A2ASPA 100,049 234,548 193,634

x

AceaSPA 6,723 136,286 176,008

x

EnelSPA 494,027 4,723,701 5,817,422

x

IRENSPA 229,985 810,789 777,612

x

x

x

5,905,324 6,964,676

x

x

Japan-9.1%

x

AEONKYUSHUCo.Ltd. 1,000 20,126 24,237

x

AEONREITInvestmentCorp. 2,200 3,401,881 3,188,453

x

AHJIKANCO.LTD. 1,086 21,588 10,437

x

AlpsLogisticsCo.Ltd. 2,100 20,533 20,433

x

AozoraBankLtd. 34,700 1,649,814 824,792

x

ASAHINet Inc. 1,400 11,132 23,656

x

AstellasPharmaInc. 46,400 938,940 1,056,239

x

CANONELECTRONICSINC. 40,800 980,374 833,619

x

CanonInc. 51,100 2,099,363 1,389,505

x

ChoushimaruCo.Ltd. 3,500 34,801 48,433

x

ChubuSteelPlateCo.Ltd. 9,700 62,045 86,661

x

CHUBU-NIPPON

BROADCASTINGCO.LTD. 1,200 9,670 8,066

x

ChugokuElectricPowerCo. Inc.

(The) 38,000 666,467 690,589

x

COSMOSPharmaceuticalCorp. 500 106,462 104,576

x

DAIREICO.LTD. 1,700 39,063 43,375

x

DAISHOCO.LTD. 1,400 23,156 21,171

x

DCMJapanHoldingsCo.Ltd. 119,900 1,405,522 1,874,073

x

DOUTORNICHIRESHoldingsCo.

Ltd. 69,700 1,703,488 1,536,639

x

EDIONCorp. 113,500 1,333,460 1,571,416

x

FujifilmHoldingsCorp. 29,800 1,506,907 1,738,668

x

FujitsuLtd. 500 76,751 79,800

x

Gamecard-JoycoHoldings Inc. 2,100 31,402 29,455

x

HankyuHanshinREITInc. 142 302,037 223,333

x

HARDOFFCORP.Co.Ltd. 3,700 36,097 33,272

x

HaruyamaTradingCo.Ltd. 2,600 22,799 25,091

x

HEIANCEREMONYSERVICECO.

LTD. 500 4,552 5,363

x

HOKKAIDOCOCA-COLA

BOTTLINGCO.LTD. 800 29,382 39,596

x

HokkaidoGasCo.Ltd. 4,200 69,649 84,574

x

IsewanTerminalServiceCo.Ltd. 2,200 16,465 23,318

x

JapanLogisticsFundInc. 10 27,491 37,021

x

JapanPostBankCo.Ltd. 20,300 318,736 205,800

x

JapanPostHoldingsCo.Ltd. 157,400 2,314,583 1,531,229

x

JapanRetailFundInvestment

Corp. 48 141,447 81,839

x

JapanTobacco Inc. 145,000 4,741,702 3,670,993

x

JFESystemsInc. 1,000 18,966 38,995

x

KakiyasuHontenCo.Ltd. 2,845 64,378 93,020

x

KDDICorp. 197,741 6,802,891 8,042,541

x

KFCHoldingsJapanLtd. 4,309 107,960 163,275

x

KiyoBankLtd. (The) 41,900 885,257 869,610

x

KOMERICO.LTD. 1,900 59,149 66,427

x

MaxvaluKyushuCo.Ltd. 1,300 35,849 41,787

Numberof


x

MAXVALUNISHINIHONCO.LTD. 4,982 98,541 103,055

x

MaxvaluTokaiCo.Ltd. 4,510 102,510 141,322

x

MedipalHoldingsCorp. 25,700 688,170 676,151

x

MeikoTransCo.Ltd. 6,000 74,008 90,028

x

MizuhoFinancialGroupInc. 2,408,500 4,826,787 4,038,376

x

MORISHITAJINTANCO.LTD. 600 20,591 14,747

x

MS&ADInsuranceGroupHoldings

Inc. 13,600 570,286 510,531

x

NAFCOCo.Ltd. 1,700 35,055 30,694

x

NATORICO.LTD. 1,300 26,640 29,127

x

NiitakaCo.Ltd. 1,500 37,680 106,581

x

NipponBSBroadcastingCorp. 2,700 33,328 36,715

x

NipponFlourMillsCo.Ltd. 57,900 1,268,507 1,184,846

x

NipponTelegraph&Telephone

Corp. 320,200 8,761,922 10,169,657

x

NittoFujiFlourMillingCo.Ltd. 500 19,339 40,629

x

NTTDOCOMOINC. 67,800 2,126,468 2,453,585

x

ResonaHoldings Inc. 146,000 1,063,606 681,018

x

SankyoCo.Ltd. 3,700 165,845 122,082

x

SECOMCo.Ltd. 2,100 236,151 251,171

x

SENKOCo.Ltd. 132,900 1,313,355 1,346,539

x

SHINKIBUSCO.LTD. 200 8,910 8,075

x

SoftBankCorp. 114,400 1,957,510 1,987,683

x

STEPCO.LTD. 500 5,714 9,561

x

TeijinLtd. 90,400 2,219,321 1,961,984

x

TENMAYASTORECO.LTD. 500 6,743 7,567

x

TOEICO.LTD. 400 83,053 73,006

x

TokyoElectricPowerCo.Holdings

Inc. 78,500 568,191 329,171

x

ToyotaMotorCorp. 38,200 3,626,515 3,274,488

x

TsuruhaHoldings Inc. 500 97,150 94,134

x

UORIKICO.LTD. 2,300 43,661 46,974

x

WEDSCO.LTD. 2,426 19,648 15,700

x

YAMAZAWACO.LTD. 6,900 140,683 151,334

x

x

x

62,388,223 60,467,908

x

x

Malaysia -1.3%

x

BatuKawanBHD 5,800 32,046 26,758

x

BIMBHoldingsBHD 30,600 41,340 33,339

x

HeinekenMalaysiaBHD 11,309 94,744 81,486

x

HongLeongFinancialGroupBHD 27,059 159,937 113,398

x

MalayanBankingBHD 1,695,000 4,900,835 4,056,424

x

PublicBankBHD 365,022 2,708,294 1,919,720

x

RHBCapitalBHD 1,549,400 2,880,417 2,365,415

x

TenagaNasionalBHD 61,010 293,318 225,946

x

TenagaNasionalBHD,ADR 2,174 36,936 32,808

x

TIMEdotComBHD 20,400 63,335 70,643

x

x

x

11,211,202 8,925,937

x

x




Numberof


Mexico -0.2%

x

Coca-ColaFEMSASABdeCV 20,571 166,925 121,640

x

Coca-ColaFEMSASABdeCV,

ADR,Series 'L' 9,647 756,886 576,154

x

GrupoComercialChedrauiSAde

CV 51,238 88,591 82,057

x

IndustriasBachocoSA,Series 'B' 148,042 785,566 584,821

x

x

x

1,797,968 1,364,672

x

x

Netherlands -0.9%

x

KoninklijkeAholdDelhaizeNV 162,230 5,464,430 6,020,108

x

x

x

5,464,430 6,020,108

x

x

NewZealand-0.6%

x

BriscoeGroupLtd. 7,686 25,675 21,248

x

ChorusLtd. 13,958 67,813 91,580

x

ContactEnergyLtd. 26,900 148,218 148,530

x

EbosGroupLtd. 4,325 64,085 82,285

x

GenesisEnergyLtd. 12,123 35,485 32,350

x

InfratilLtd. 16,166 47,884 67,009

x

MercuryNZLtd. 214,180 644,462 886,609

x

PrecinctPropertiesNewZealand

Ltd. 20,379 22,674 28,209

x

RestaurantBrandsNewZealand

Ltd. 24,096 164,331 250,426

x

SanfordLtd. 10,602 61,487 58,510

x

SparkNewZealandLtd. 302,793 1,021,464 1,217,235

x

TrustpowerLtd. 9,554 45,853 58,414

x

ZEnergyLtd. 324,300 2,175,493 772,860

x

x

x

4,524,924 3,715,265

x

x

Norway -0.4%

x

OrklaASA 170,684 2,012,786 2,036,405

x

OrklaASA,ADR 20,912 212,671 249,788

x

TelenorASA 9,994 271,309 198,297

x

x

x

2,496,766 2,484,490

x

x

Philippines -0.0%

x

EastWestBankingCorp. 56,300 16,286 11,320

x

FilinvestDevelopmentCorp. 101,500 38,110 21,927

x

PhilippineNationalBank 48,698 70,412 26,733

x

UnionBankof thePhilippines 9,800 20,053 14,602

x

x

x

144,861 74,582

x

x

Portugal -0.1%

x

NovabaseSGPSSA 4,048 20,939 19,256

x

RedesEnergeticasNacionais

SGPSSA 235,269 864,718 874,124

x

x

x

885,657 893,380

x

x

Qatar -0.1%

x

AlMeeraConsumerGoodsCo. 33,698 224,033 229,848

x

Baladna 270,392 98,038 126,870

x

WidamFoodCo. 33,065 86,109 86,325

x

x

x

408,180 443,043

x

x

Numberof


Russia -1.1%

x

GazpromNeftPAO,ADR 35,800 1,213,501 1,116,114

x

HighlandGoldMiningLtd. 52,134 137,660 204,926

x

LUKOILPJSC,ADR 27,000 3,411,836 2,730,837

x

Magnitogorsk Iron&SteelWorks

PJSC,GDR,Registered 8,830 106,168 80,814

x

PJSCPolyus,GDR 22,673 1,335,072 2,598,554

x

RostelecomPJSC,ADR 39,251 390,511 393,312

x

x

x

6,594,748 7,124,557

x

x

Singapore -0.7%

x

DBSGroupHoldingsLtd. 58,900 1,261,602 1,205,829

x

ShengSiongGroupLtd. 52,088 46,891 84,214

x

Sing Investments&FinanceLtd. 6,600 9,575 7,765

x

UnitedOverseasBankLtd. 163,500 3,788,044 3,250,491

x

VicomLtd. 20,800 28,654 45,897

x

x

x

5,134,766 4,594,196

x

x

SouthAfrica -0.0%

x

AbsaBankLtd.,Preferred 170 10,721 8,134

x

x

x

10,721 8,134

x

x

SouthKorea -2.5%

x

BYCCo.Ltd. 156 48,510 36,752

x

DaekyoCo.Ltd. 16,688 80,596 81,266

x

DaesangHoldingsCo.Ltd. 7,838 60,895 72,465

x

DCMCorp. 1,176 15,775 14,135

x

DIDong-IlCorp. 1,567 92,240 120,054

x

Dongil IndustriesCo.Ltd. 186 17,601 12,072

x

IlshinSpinningCo.Ltd. 566 35,675 38,709

x

IncheonCityGasCo.Ltd. 1,121 40,098 30,455

x

IndustrialBankofKorea 74,100 1,307,173 685,799

x

KiaMotorsCorp. 41,000 1,851,278 1,508,994

x

KTCorp. 79,074 2,306,408 2,121,704

x

KT&GCorp. 53,589 6,056,819 4,766,597

x

LGUplusCorp. 70,700 1,038,431 984,044

x

NamyangDairyProductsCo.Ltd. 141 104,554 45,416

x

SamsungCardCo.Ltd. 30,000 1,375,339 933,844

x

SamsungElectronicsCo.Ltd. 50 1,438 3,015

x

SAMWONSTEELCo.Ltd. 10,867 41,701 24,653

x

SamyangTongsangCo.Ltd. 2,611 190,250 158,292

x

SKTelecomCo.Ltd. 17,284 4,509,022 4,145,969

x

SKTelecomCo.Ltd.,ADR 13,600 239,373 357,868

x

XiS&DInc. 13,218 79,658 91,593

x

YESCOHoldingsCo.Ltd. 777 31,878 30,175

x

x

x

19,524,712 16,263,871

x

x

Spain-0.3%

x

EndesaSA 61,600 2,032,812 2,080,576

x

IberdrolaSA 2,361 31,121 37,530

x

x

x

2,063,933 2,118,106

x

x

Sweden-0.1%

x

AxfoodAB 15,364 385,414 457,557

x

ICAGruppenAB 2,904 139,594 188,042

x

x

x

525,008 645,599

x

x




Numberof


Switzerland-3.8%

x

AllrealHoldingAG,Registered 2,500 629,480 674,929

x

BasellandschaftlicheKantonalbank 36 43,736 45,205

x

BKWSA 4,773 246,115 583,589

x

CrealogixHoldingAG 3 546 410

x

HelvetiaHoldingAG 14,000 2,129,424 1,785,909

x

IntershopHoldingAG 203 116,488 165,475

x

NestléSA,Registered 13,009 1,710,706 1,964,227

x

NovartisAG,Registered 56,044 6,294,335 6,649,417

x

PSPSwissPropertyAG,Registered 1,013 158,809 155,388

x

RocheHoldingAGGenusscheine 20,254 6,110,200 9,556,130

x

SwissLifeHoldingAG,Registered 101 51,870 51,170

x

SwissPrimeSiteAG,Registered 805 113,024 101,698

x

SwisscomAG 3,405 2,176,299 2,431,711

x

ThurgauerKantonalbank 115 16,150 17,579

x

ValiantHoldingAG,Registered 10,000 1,151,851 1,270,777

x

VaudoiseAssurancesHoldingSA 10 7,387 6,417

x

x

x

20,956,420 25,460,031

x

x

Taiwan-1.6%

x

ChiconyElectronicsCo.Ltd. 577,000 2,247,855 2,277,928

x

SinoPacFinancialHoldingsCo. 5,369,800 2,612,905 2,703,344

x

TaiwanBusinessBank 4,794,300 2,169,028 2,401,157

x

YuantaFinancialHoldingCo.Ltd. 3,918,000 2,640,417 3,175,791

x

x

x

9,670,205 10,558,220

x

x

Thailand-0.8%

x

AdvancedInformationTechnology

PCL 21,689 21,191 16,589

x

Bangkok InsurancePCL 2,802 36,403 34,507

x

KangYongElectricPCL,NVDR 1,455 17,511 19,995

x

KiatnakinBankPCL 603,300 1,530,775 1,068,640

x

KrungThaiBankPCL 3,005,800 2,252,296 1,368,428

x

LHShoppingCentersLeashehold

REIT 116,600 62,456 66,320

x

MuramotoElectronThailandPCL 1,600 15,157 9,263

x

Saha-UnionPCL 31,400 51,486 49,456

x

ThaiRayonPCL 9,500 18,163 10,805

x

ThaiVegetableOilPCL,Depository

Receipts 143,400 177,646 166,537

x

TiscoFinancialGroupPCL 796,600 2,713,459 2,448,732

x

TMTSteelPCL,NVDR 4,401 996 803

x

x

x

6,897,539 5,260,075

x

x

Turkey -0.1%

x

AnadoluAnonimTurkSigorta

Sirketi 71,842 74,412 88,321

x

AnadoluHayatEmeklilik 22,744 36,571 33,047

x

BIMBirlesikMagazalarAS 2,695 34,972 36,386

x

BizimToptanSatisMagazalariAS 29,004 74,223 112,687

x

KozaAltinIsletmeleriAS 8,356 121,822 138,607

x

YeniGimatGayrimenkulOrtakligi

AS 16,744 44,864 39,478

x

x

x

386,864 448,526

x

x

Numberof


UnitedKingdom-2.9%

x

BAESystemsPLC 360,100 3,614,067 2,924,380

x

BritishAmericanTobaccoPLC 5,000 266,965 260,445

x

CambriaAutomobilesPLC 9,086 12,467 8,027

x

CelloHealthPLC 12,082 23,896 22,766

x

DiageoPLC 27,622 1,523,025 1,246,896

x

ECOAnimalHealthGroupPLC 19,327 153,743 81,251

x

GlaxoSmithKlinePLC 227,500 6,111,100 6,241,296

x

GroundRents IncomeFundPLC 52,917 116,617 72,996

x

ImperialBrandsPLC 104,700 4,662,750 2,706,984

x

K3BusinessTechnologyGroup

PLC 8,779 59,682 10,710

x

MarshallMotorHoldingsPLC 8,500 26,407 17,525

x

NationalGridPLC 69,518 1,035,274 1,151,913

x

ShepherdNeameLtd. 1,287 30,021 17,923

x

Tate&LylePLC 364,317 4,206,212 4,090,360

x

UnileverPLC 660 54,884 48,352

x

x

x

21,897,110 18,901,824

x

x

UnitedStates -52.9%

x

AcushnetHoldingsCorp. 3,705 114,905 175,558

x

AdtranInc. 2,625 38,836 39,077

x

Aflac Inc. 105,360 6,319,896 5,170,317

x

Agilysys Inc. 3,445 123,406 84,176

x

AllisonTransmissionHoldings Inc. 27,900 1,505,212 1,397,633

x

AllstateCorp. (The) 50,100 5,925,350 6,618,229

x

AltriaGroupInc. 96,600 6,946,815 5,164,091

x

AmdocsLtd. 108,456 8,720,440 8,993,015

x

AmericanFinancialGroupInc. 8,808 1,212,489 761,298

x

AmgenInc. 19,824 5,283,732 6,368,288

x

AngioDynamics Inc. 16,020 224,157 221,902

x

ANIPharmaceuticals Inc. 1,090 80,110 48,011

x

AnikaTherapeutics Inc. 7,804 377,794 401,034

x

AnnalyCapitalManagementInc. 202,000 2,705,900 1,804,813

x

AnthemInc. 4,679 1,414,404 1,675,918

x

AssociatedBanc-Corp. 1,135 33,464 21,148

x

AT&TInc. 242,563 11,457,310 9,987,109

x

AutoZone Inc. 4,700 4,387,939 7,221,547

x

AvidbankHoldings Inc. 856 24,764 17,383

x

AvistaCorp. 13,486 750,003 668,409

x

BancFirstCorp. 657 47,040 36,303

x

BankofAmericaCorp. 31,869 1,186,821 1,030,882

x

BankFinancialCorp. 4,600 92,770 52,628

x

BCBBancorpInc. 5,160 93,837 65,219

x

BerkshireHathaway Inc.,Class 'B' 22,300 5,047,788 5,421,813

x

BiogenInc. 4,303 1,687,769 1,568,027

x

BlackRockTCPCapitalCorp. 20,582 394,086 256,219

x

BradyCorp.,Class 'A' 6,387 431,759 407,292

x

BrandywineRealtyTrust 130,500 2,758,263 1,935,600

x

BridgeBancorpInc. 875 34,309 27,220

x

BridgewaterBancshares Inc. 2,090 32,756 29,177

x

Bristol-MyersSquibbCo. 53,600 4,111,933 4,292,588

x

CACIInternational Inc.,Class 'A' 9,323 2,817,837 2,753,926

x

Calix Inc. 5,113 69,743 103,762




Numberof


x

CamdenNationalCorp. 2,112 121,519 99,356

x

CarterBank&Trust 20,883 566,539 229,532

x

Casey'sGeneralStores Inc. 2,077 459,375 422,973

x

CDKGlobal Inc. 20,700 1,630,027 1,167,771

x

CentralGarden&PetCo.,Class 'A' 8,635 457,454 397,400

x

CentralPacificFinancialCorp. 10,281 394,671 224,464

x

CernerCorp. 1,788 181,721 166,937

x

CharterCommunications Inc.,

Class 'A' 154 110,713 106,980

x

ChemedCorp. 4,471 1,652,169 2,746,792

x

CienaCorp. 7,409 402,873 546,532

x

CincinnatiFinancialCorp. 393 56,519 34,273

x

CiscoSystemsInc. 105,162 5,373,433 6,680,277

x

CitrixSystemsInc. 14,073 1,850,066 2,835,054

x

CityHoldingCo. 970 99,492 86,099

x

CloroxCo. (The) 2,931 808,679 875,730

x

CNAFinancialCorp. 1,891 118,345 82,804

x

Coca-ColaCo. (The) 11,677 912,830 710,594

x

Colgate-PalmoliveCo. 19,979 1,894,852 1,993,507

x

ColumbiaFinancial Inc. 2,976 67,874 56,564

x

ColumbiaSportswearCo. 6,786 810,545 744,763

x

ComcastCorp.,Class 'A' 84,801 4,866,824 4,502,150

x

CommvaultSystemsInc. 8,723 535,752 459,784

x

ComputerProgramsandSystems

Inc. 12,246 391,731 380,116

x

ComtechTelecommunications

Corp. 11,330 392,080 260,637

x

ConsolidatedEdisonInc. 1,757 195,251 172,131

x

CostcoWholesaleCorp. 6,848 1,844,620 2,828,032

x

CSGSystemsInternational Inc. 2,787 189,767 157,112

x

CVSHealthCorp. 38,700 3,408,860 3,424,530

x

D.R.HortonInc. 22,200 1,806,847 1,676,608

x

DeckersOutdoorCorp. 1,708 435,614 456,861

x

Digi International Inc. 1,550 35,137 24,594

x

DollarGeneralCorp. 6,891 1,005,088 1,788,040

x

EagleBancorpMontana Inc. 1,942 54,039 45,970

x

eBay Inc. 48,600 3,206,214 3,471,833

x

EnantaPharmaceuticals Inc. 2,060 149,571 140,875

x

EncompassHealthCorp. 21,325 1,900,747 1,798,735

x

Ennis Inc. 3,436 92,953 84,892

x

EntergyCorp. 37,300 3,770,727 4,765,792

x

Evergy Inc. 32,610 2,644,732 2,633,355

x

ExelonCorp. 157,529 8,400,016 7,786,183

x

F.N.B.Corp. 2,187 33,416 22,340

x

F5Network Inc. 5,025 945,824 954,608

x

Fidus InvestmentCorp. 9,438 150,480 116,591

x

FirstCommonwealthFinancial

Corp. 1,940 33,075 21,878

x

FirstFinancialCorp. 733 41,338 36,779

x

First InterstateBancSystemInc. 661 34,141 27,873

x

FirstNorthernCommunityBancorp 2,962 41,414 32,637

x

FirstofLong IslandCorp. (The) 2,921 88,552 65,007

x

FirstEnergyCorp. 24,500 1,115,602 1,294,050

x

FlagstarBancorpInc. 5,396 261,741 216,291

Numberof


x

FordMotorCo. 191,600 2,704,432 1,586,632

x

ForesightFinancialGroupInc. 234 9,579 8,444

x

FranklinFinancialServicesCorp. 207 9,929 7,302

x

FSBancorpInc. 711 32,989 37,351

x

FSKKRCapitalCorp. 52,075 1,700,187 992,966

x

FultonFinancialCorp. 5,938 119,655 85,162

x

GamingandLeisureProperties Inc. 9,637 479,631 454,169

x

GeneralMills Inc. 45,010 2,847,894 3,779,368

x

GileadSciences Inc. 35,748 3,613,289 3,746,114

x

GlobeLife Inc. 18,253 1,999,519 1,845,401

x

GrahamHoldingsCo.,Class 'B' 161 151,145 75,141

x

HartfordFinancialServicesGroup

Inc. (The) 53,700 4,387,585 2,819,524

x

HavertyFurnitureCos. Inc. 2,033 56,187 44,303

x

HawaiianElectric Industries Inc. 6,932 394,538 340,456

x

HCAHealthcare Inc. 24,589 3,268,027 3,250,561

x

HDSupplyHoldings Inc. 29,200 1,183,163 1,378,044

x

HealthStreamInc. 12,055 396,692 363,350

x

HemisphereMediaGroupInc. 1,600 25,575 21,422

x

HermanMiller Inc. 8,334 481,364 267,995

x

HilltopHoldings Inc. 6,589 200,770 165,574

x

HomeDepot Inc. (The) 5,554 1,321,123 1,894,995

x

HomeStreet Inc. 5,679 245,672 190,353

x

HumanaInc. 2,541 951,596 1,341,942

x

IndependentBankCorp.

(Michigan) 3,835 113,401 77,566

x

Innoviva Inc. 9,589 159,333 182,582

x

IntelCorp. 93,600 5,234,121 7,627,320

x

InterParfumsInc. 677 42,933 44,398

x

InternationalBusinessMachines

Corp. 39,500 7,703,387 6,497,305

x

InterpublicGroupofCos. Inc. (The) 22,142 700,711 517,501

x

Intuit Inc. 652 176,432 263,024

x

InvestorsBancorpInc. 150,600 2,399,391 1,743,496

x

J&JSnackFoodsCorp. 2,823 563,518 488,805

x

J.M.SmuckerCo. (The) 29,800 4,615,704 4,294,574

x

j2Global Inc. 1,283 132,726 110,456

x

JohnB.Sanfilippo&SonInc. 2,779 358,423 322,974

x

JohnWiley&Sons Inc.,Class 'A' 10,706 888,980 568,681

x

Johnson&Johnson 74,195 11,363,770 14,211,166

x

JPMorganChase&Co. 10,414 1,518,639 1,334,135

x

JuniperNetworks Inc. 132,302 4,584,013 4,119,265

x

KelloggCo. 39,200 3,482,092 3,526,970

x

KentuckyBancshares Inc. 308 8,708 6,972

x

Kimberly-ClarkCorp. 21,400 2,995,268 4,119,900

x

KrogerCo. (The) 157,474 5,794,411 7,260,134

x

LaboratoryCorp.ofAmerica

Holdings 3,921 919,818 887,094

x

LibertyMediaCorp.-Liberty

SiriusXM,Class 'C' 1,801 103,428 84,505

x

LincolnNationalCorp. 23,797 1,918,390 1,192,420

x

LockheedMartinCorp. 6,800 3,302,293 3,379,743

x

LuminexCorp. 1,302 53,969 57,686

x

MacatawaBankCorp. 13,282 187,670 141,464




Numberof


x

ManpowerGroupInc. 165 26,919 15,450

x

MarcusCorp. (The) 6 257 108

x

MaterionCorp. 6,195 433,843 518,827

x

MaximusInc. 4,079 404,116 391,392

x

MDUResourcesGroupInc. 23,934 892,453 723,026

x

Merck&Co. Inc. 84,575 6,763,291 8,907,732

x

MeridianBancorpInc. 13,971 304,298 220,731

x

MeridianBioscience Inc. 4,229 104,650 134,148

x

MetLife Inc. 11,980 803,325 595,888

x

MicrosoftCorp. 10,866 2,090,947 3,011,845

x

MicroStrategy Inc.,Class 'A' 446 84,927 71,856

x

ModelNInc. 7,522 260,674 356,115

x

MotorolaSolutions Inc. 1,109 248,655 211,660

x

MurphyUSAInc. 1,626 249,566 249,343

x

NationalFuelGasCo. 38,800 3,137,767 2,215,816

x

NationalHealthcareCorp. 956 79,207 82,603

x

NatusMedical Inc. 4,091 148,677 121,580

x

NetScoutSystemsInc. 3,017 97,387 105,030

x

NewsCorp.,Class 'A' 10,063 178,569 162,551

x

NorthfieldBancorpInc. 1,868 38,001 29,309

x

NorthropGrummanCorp. 7,800 3,417,436 3,266,120

x

NorthwestBancshares Inc. 32,132 654,037 447,485

x

OldSecondBancorpInc. 2,240 34,997 23,736

x

OmnicomGroupInc. 5,904 616,046 439,052

x

OracleCorp. 153,611 10,430,029 11,563,489

x

OrthofixMedical Inc. 4,100 315,218 178,694

x

PCBBancorp 2,010 43,841 28,197

x

PCSBFinancialCorp. 1,602 33,310 27,667

x

PennantParkFloatingRateCapital

Ltd. 15,952 268,405 182,504

x

PeoplesBancorpInc. 843 34,977 24,433

x

PepsiCo Inc. 9,251 1,540,034 1,666,458

x

PerdoceoEducationCorp. 7,376 209,172 160,035

x

Pfizer Inc. 149,000 6,339,816 6,636,073

x

PhibroAnimalHealthCorp.,Class

'A' 11,859 714,983 424,312

x

Phillips66 28,400 3,904,106 2,781,150

x

PortlandGeneralElectricCo. 2,350 172,796 133,821

x

PrestigeConsumerHealthcare Inc. 9,844 490,797 503,587

x

PriceSmart Inc. 1,113 96,844 91,455

x

Procter&GambleCo. (The) 16,214 1,739,566 2,640,520

x

ProgressSoftwareCorp. 7,555 396,770 398,734

x

ProvidentFinancialHoldings Inc. 7,645 186,645 139,631

x

ProvidentFinancialServices Inc. 8,103 271,990 159,474

x

PublicServicesEnterpriseGroup

Inc. 32,700 2,369,186 2,189,459

x

PulteGroupInc. 47,700 2,485,244 2,210,841

x

QADInc.,Class 'A' 1,081 71,800 60,777

x

QUALCOMMInc. 14,700 1,796,861 1,826,152

x

QuestDiagnostics Inc. 16,497 2,240,804 2,560,557

x

RadianGroupInc. 9,043 279,152 191,030

x

RaytheonTechnologiesCorp. 20,200 2,009,966 1,695,314

x

ReinsuranceGroupofAmerica Inc. 2,644 553,356 282,472

x

RelianceSteel&AluminumCo. 10,451 1,217,528 1,351,258

Numberof


x

RepublicServices Inc. 22,489 2,015,256 2,513,193

x

RockyBrands Inc. 1,374 40,103 38,476

x

ScholasticCorp. 3,103 175,780 126,535

x

SealedAirCorp. 50,800 1,863,306 2,272,878

x

ServiceCorp. International 23,097 1,101,553 1,223,406

x

SilganHoldings Inc. 32,100 1,146,520 1,416,097

x

SolarCapitalLtd. 1,472 33,935 32,098

x

SouthPlainsFinancial Inc. 3,053 82,778 59,213

x

SproutsFarmersMarkets Inc. 13,228 390,552 461,043

x

StarwoodPropertyTrust Inc. 85,200 2,424,777 1,735,994

x

SykesEnterprises Inc. 14,651 554,778 551,946

x

Synopsys Inc. 1,060 197,243 281,525

x

SyscoCorp. 8,309 638,102 618,579

x

TargetCorp. 64,777 6,473,131 10,580,977

x

TelephoneandDataSystemsInc. 23,501 847,963 636,326

x

TricoBanchares 1,649 87,039 68,389

x

TrustmarkCorp. 7,556 331,457 252,342

x

TwoHarbors InvestmentCorp. 2,700 60,777 18,534

x

TysonFoods Inc.,Class 'A' 66,800 5,733,795 5,432,511

x

U.S.Bancorp 30,984 2,142,553 1,553,812

x

UmpquaHoldingsCorp. 4,557 99,518 66,039

x

UnitedTherapeuticsCorp. 2,103 321,523 346,579

x

UniversalHealthServices Inc.,

Class 'B' 14,243 2,125,861 1,801,970

x

UnivestFinancialCorp. 2,072 70,444 45,548

x

USANAHealthSciences Inc. 1,874 209,585 187,422

x

ValeroEnergyCorp. 10,500 1,310,305 841,185

x

VEREITInc. 273,400 3,448,027 2,394,344

x

VerintSystemsInc. 3,744 217,026 230,388

x

VerizonCommunications Inc. 108,262 7,051,334 8,129,075

x

ViaviSolutions Inc. 28,086 538,060 487,345

x

VoyaFinancial Inc. 12,701 830,557 806,987

x

WalgreensBootsAlliance Inc. 95,379 7,739,424 5,506,724

x

Walmart Inc. 44,867 5,191,522 7,319,619

x

WashingtonFederal Inc. 5,686 272,909 207,858

x

WasteManagementInc. 25,714 2,701,378 3,709,230

x

WD-40Co. 2,319 452,385 626,326

x

WestPharmaceuticalServices Inc. 664 154,172 205,445

x

WesternNewEnglandBancorp

Inc. 3,587 33,179 28,287

x

WesternUnionCo. (The) 95,600 2,645,365 2,815,080

x

WTBFinancialCorp.,Class 'B' 47 19,377 17,860

x

ZionsBancorporationNA 2,567 152,784 118,873

x

x

x

341,606,930 350,606,558

x

x

x

TotalEquities 649,415,817 642,318,525

x

x

x

Less:Transactioncost includedin

averagecost (373,189)

x

x

x

TotalNon-DerivativeFinancial

Assets -97.0% 649,042,628 642,318,525

x

x

x

DerivativeAssetsandLiabilities (1)

-0.0% 134,853

x

x




Numberof


x

OtherAssetsandLiabilities,Net -

3.0% 19,926,844

x

x

x

NetAssetsAttributable toHolders

ofRedeemableUnits -100.0% 662,380,222

x

x




x

(1) DERIVATIVEASSETSANDLIABILITIES

SCHEDULE OF LONG FUTURES CONTRACTS

Number of

Contracts

Average

Cost per

Contract $

Contracted

Value $

Current

Value $

Unrealized

Appreciation

(Depreciation) $

x

x

x

UnrealizedAppreciation

x

ASXSPI200indexexpirationdateSeptember2020 2 AUD 5,850.00 274,288 276,257 1,969

x

EuroSTOXX50expirationdateSeptember2020 23 EUR 3,144.75 1,106,442 1,133,974 27,531

x

FTSE100IndexexpirationdateSeptember2020 6 GBP 6,108.50 616,795 620,733 3,938

x

UnitedStatesS&P500E-Mini IndexexpirationdateSeptember2020 25 USD 3,003.60 5,113,636 5,261,065 147,430

x

x

x

UnrealizedAppreciation(Depreciation)onLongFuturesContracts 180,868

x

x

x

UnrealizedDepreciation

x

JapaneseTOPIXIndexexpirationdateSeptember2020 5 JPY 1,625.50 1,026,061 983,768 (42,292)

x

x

x

UnrealizedAppreciation(Depreciation)onLongFuturesContracts (42,292)

x

x

SCHEDULE OF SPOT CURRENCY EXCHANGE CONTRACTS

Counterparty

Credit

Rating of

Counterparty

1

Settlement

Date

Amount

Sold $

Amount

Bought $

Forward

Rate

Current

Rate

Unrealized

Appreciation

(Depreciation) $

x

x

x

BankofNewYorkMellon(The),NewYork A-1+ 2020-07-01 KRW 236,509,816 USD 196,786 1201.860 1202.850 221

x


x


x

BankofNewYorkMellon(The),NewYork A-1+ 2020-07-01 THB 4,130,427 USD 133,664 30.901 30.907 35

x

BankofNewYorkMellon(The),NewYork A-1+ 2020-07-01 THB 778,642 USD 25,198 30.901 30.907 7

x

BankofNewYorkMellon(The),NewYork A-1+ 2020-07-01 THB 697,677 USD 22,577 30.902 30.908 6

x

BankofNewYorkMellon(The),NewYork A-1+ 2020-07-02 USD 62,794 QAR 228,866 0.274 0.275 87

x

BankofNewYorkMellon(The),NewYork A-1+ 2020-07-02 USD 20,178 QAR 73,544 0.274 0.275 28

x

x

x

601

x

x

x

BrownBrothersHarriman&Co. A-1 2020-07-01 USD 1,017,367 EUR 905,832 1.123 1.123 25

x

x

x

25

x

x

x

StateStreetBank&TrustCo. A-1+ 2020-07-01 JPY 2,948,132 USD 27,369 107.716 107.885 58

x

x

x

58

x

x

x

684

x

x

Counterparty

Credit

Rating of

Counterparty

1

Settlement

Date

Amount

Sold $

Amount

Bought $

Forward

Rate

Current

Rate

Unrealized

Appreciation

(Depreciation) $

x

x

x

BankofNewYorkMellon(The),NewYork A-1+ 2020-07-02 PHP 991,257 USD 19,891 49.835 49.825 (5)

x

BankofNewYorkMellon(The),NewYork A-1+ 2020-07-02 PHP 2,845,062 USD 57,090 49.835 49.825 (16)

x

x

x

(21)

x

x

x

BrownBrothersHarriman&Co. A-1 2020-07-01 TRY 272,068 USD 39,674 6.858 6.855 (22)

x

BrownBrothersHarriman&Co. A-1 2020-07-01 USD 67,654 ILS 233,536 0.290 0.289 (241)

x

BrownBrothersHarriman&Co. A-1 2020-07-02 USD 2,276,049 HKD 17,640,130 0.129 0.129 (48)

x

x

x

(311)

x

x

x

NorthernTrustChicago A-1 2020-07-01 GBP 412,638 USD 506,864 0.814 0.809 (4,075)

x

x

x

(4,075)




x

Counterparty

Credit

Rating of

Counterparty

1

Settlement

Date

Amount

Sold $

Amount

Bought $

Forward

Rate

Current

Rate

Unrealized

Appreciation

(Depreciation) $

x

x

x

x

(4,407)

x

x

x

1

CommercialPaper ratingperS&PGlobalRating'sCommercialPaperGuide.


Fund Specific Notes to Financial Statements


InvestmentObjective

Toachievecapitalappreciationwithlessvolatility thanthebroadglobalequitymarkets throughinvestmentsprimarily inequitysecuritiesof issuers indevelopedandemergingcountries.

CurrencyRisk

The tablebelowindicates thecurrencies towhichtheFundhadexposureJune30,2020andDecember31,2019,onbothits tradingmonetaryandnon-monetaryassetsandliabilities.The table

indicateshownetassetswouldhavedecreasedor increasedhadtheCanadiandollarstrengthenedorweakenedby5%inrelationtoall foreigncurrencies,withallothervariablesheldconstant. In

practice, theactual trading resultsmaydiffer fromthissensitivityanalysisandthedifferencecouldbematerial.

Currency riskexposed

holdings*

Forwardforeignexchange

contracts Net Exposure Asa%ofNetAssets ImpactonNetAssets

2020 2019 2020 2019 2020 2019 2020 2019 2020 2019

x

U.S.Dollar

370,285,688

385,749,106

–

–

370,285,688

385,749,106

55.91%

53.46%

18,514,284

19,287,455

x

JapaneseYen

61,487,297

69,678,314

–

–

61,487,297

69,678,314

9.28%

9.66%

3,074,365

3,483,916

x

EuroCurrencyUnit

36,003,883

43,705,299

–

–

36,003,883

43,705,299

5.44%

6.06%

1,800,194

2,185,265

x

SwissFranc

26,865,601

24,677,574

–

–

26,865,601

24,677,574

4.06%

3.42%

1,343,280

1,233,879

x

HongKongDollar

25,329,021

16,141,170

–

–

25,329,021

16,141,170

3.82%

2.24%

1,266,451

807,059

x

BritishPound

22,087,563

31,385,432

–

–

22,087,563

31,385,432

3.33%

4.35%

1,104,378

1,569,272

x

SouthKoreanWon

16,424,220

18,355,469

–

–

16,424,220

18,355,469

2.48%

2.54%

821,211

917,773

x

NewTaiwanDollar

10,822,117

9,609,805

–

–

10,822,117

9,609,805

1.63%

1.33%

541,106

480,490

x

AustralianDollar

9,244,432

10,663,336

–

–

9,244,432

10,663,336

1.40%

1.48%

462,222

533,167

x

MalaysianRinggit

9,096,462

8,086,392

–

–

9,096,462

8,086,392

1.37%

1.12%

454,823

404,320

x

IndianRupee

6,413,290

8,533,504

–

–

6,413,290

8,533,504

0.97%

1.18%

320,665

426,675

x

ThaiBaht

5,260,499

10,775,104

–

–

5,260,499

10,775,104

0.79%

1.49%

263,025

538,755

x

SingaporeDollar

5,091,724

8,175,965

–

–

5,091,724

8,175,965

0.77%

1.13%

254,586

408,798

x

NewZealandDollar

3,627,155

6,202,797

–

–

3,627,155

6,202,797

0.55%

0.86%

181,358

310,140

x

IsraeliShekel

3,127,564

4,462,977

–

–

3,127,564

4,462,977

0.47%

0.62%

156,378

223,149

x

NorwegianKrone

2,252,129

2,730,633

–

–

2,252,129

2,730,633

0.34%

0.38%

112,606

136,532

x

BrazilianReal

1,511,157

5,797,375

–

–

1,511,157

5,797,375

0.23%

0.80%

75,558

289,869

x

DanishKrone

1,538,655

1,447,377

–

–

1,538,655

1,447,377

0.23%

0.20%

76,933

72,369

x

HungarianForint

836,196

1,331,460

–

–

836,196

1,331,460

0.13%

0.18%

41,810

66,573

x

MexicanPeso

794,888

996,494

–

–

794,888

996,494

0.12%

0.14%

39,744

49,825

x

ColombianPeso

678,569

1,819,111

–

–

678,569

1,819,111

0.10%

0.25%

33,928

90,956

x

SwedishKrona

660,965

1,262,624

–

–

660,965

1,262,624

0.10%

0.17%

33,048

63,131

x

TurkishLira

448,605

780,928

–

–

448,605

780,928

0.07%

0.11%

22,430

39,046

x

QatariRial

340,712

–

–

–

340,712

–

0.05%

–%

17,037

–

x

ChinaRenminbi

301,482

–

–

–

301,482

–

0.05%

–%

15,074

–

x

CzechKoruna

151,462

810,218

–

–

151,462

810,218

0.02%

0.11%

7,573

40,511

x

PhilippinePeso

79,744

220,801

–

–

79,744

220,801

0.01%

0.03%

3,987

11,040

x

IndonesianRupiah

54,511

43,187

–

–

54,511

43,187

0.01%

0.01%

2,726

2,159

x

SouthAfricanRand

8,688

85,514

–

–

8,688

85,514

0.00%

0.01%

434

4,276

x

ChilePreso

7,081

3,048,107

–

–

7,081

3,048,107

0.00%

0.42%

354

152,405

x

x

x

Total

620,831,360

676,576,073

–

–

620,831,360

676,576,073

93.73%

93.75%

31,041,568

33,828,805

*Amounts includemonetaryandnon-monetary items

InterestRateRisk

AsatJune30,2020andDecember31,2019,the interest rate risk isminimalgiventhat themajorityof theFunds financial instrumentsarenon-interestbearing.

OtherPriceRisk

AsatJune30,2020,a10%(December31,2019-10%)increaseordecrease inequitypriceswouldhave increasedordecreasedtheFund'sNetAssetsby$65,059,432(December31,2019

-$70,721,671). Inpractice, theactual resultsmaydiffer fromthissensitivityanalysisandthedifferencecouldbematerial.

CreditRisk

AsatJune30,2020andDecember31,2019,thecredit risk isminimalgiventhat theFundhadnosignificant investments indebt instruments.




ConcentrationRisks

The following isasummaryof theFund'sconcentrationriskasatJune30,2020andDecember31,2019.

PortfoliobyCategory PercentageofNetAssets (%)

2020 2019

x

x

Australia 1.4 1.4

x

Austria 0.2 0.2

x

Belgium 0.3 0.4

x

Bermuda 0.5 0.1

x

Brazil 0.2 0.8

x

Canada 4.6 4.7

x

Chile — 0.5

x

China 1.9 1.0

x

Colombia 0.1 0.2

x

Curacao — —

x

Cyprus 0.3 0.3

x

CzechRepublic — 0.1

x

Denmark 0.2 0.2

x

Finland — —

x

France 2.0 2.3

x

Germany 0.4 1.3

x

Gurensey — —

x

Greenland — —

x

HongKong 1.9 1.3

x

Hungary 0.1 0.2

x

India 0.9 1.0

x

Indonesia — —

x

Ireland 0.5 0.5

x

Israel 0.9 0.7

x

Italy 1.1 0.9

x

Japan 9.1 9.6

x

Malaysia 1.3 1.1

x

Mexico 0.2 0.2

x

Netherlands 0.9 0.5

x

NewZealand 0.6 0.9

x

Norway 0.4 0.4

x

Philippines — —

x

Portugal 0.1 0.1

x

Qatar 0.1 —

x

Russia 1.1 1.0

x

Singapore 0.7 1.1

x

SouthAfrica — 0.1

x

SouthKorea 2.5 2.5

x

Spain 0.3 0.2

x

Sweden 0.1 0.2

x

Switzerland 3.8 3.4

x

Taiwan 1.6 1.3

x

Thailand 0.8 1.5

x

Turkey 0.1 0.1

x

UnitedKingdom 2.9 3.8

x

UnitedStates 52.9 50.6

x

DerivativeAssetsandLiabilities — —

x

OtherAssetsandLiabilities,Net 3.0 3.3

x

x

x

100.0 100.0

x

x




Offsettingof financial instruments

Inthenormalcourseofbusiness, theFundmayenter intovariousmasternettingarrangementsorothersimilaragreements thatdonotmeet thecriteria foroffsetting intheStatementsof

FinancialPositionbutstillallowfor the relatedamounts tobesetoff incertaincircumstances,suchasbankruptcyor terminationof thecontracts.AsatJune30,2020,theamountseligible for

offsettingwereminimal.Noamountswereeligible foroffsettingasatDecember31,2019.

FairValueMeasurements

The following tablesummarizes the inputsusedasatJune30,2020andDecember31,2019, invaluing theFund's investmentsandderivativescarriedat fairvalues:

June30,2020

Quotedprices inactivemarkets

for identicalassets (Level1)

Significantotherobservable

inputs (Level2)

Significantunobservable inputs

(Level3) Total

x

x

Commonshares $ 642,247,339 $ 33,305 $ – $ 642,280,644

x

Preferredshares 37,881 – – 37,881

x

Derivativeassets 180,868 684 – 181,552

x

Derivative liabilities (42,292) (4,407) – (46,699)

x

x

December31,2019

Quotedprices inactivemarkets

for identicalassets (Level1)

Significantotherobservable

inputs (Level2)

Significantunobservable inputs

(Level3) Total

x

x

Commonshares $ 694,132,067 $ 1,594,398 $ – $ 695,726,465

x

Preferredshares 2,212,092 – – 2,212,092

x

Derivativeassets 97,405 – – 97,405

x

Derivative liabilities (9,374) – – (9,374)

During theperiodendedJune30,2020,no investmentsandderivatives (December31,2019-$38,185)were transferredfromLevel1toLevel2as theyceasedtobe tradedinanactivemarket

During theperiodendedJune30,2020,no investmentsandderivatives (December31,2019-$138,392)were transferredfromLevel2toLevel1as theybegantrading inanactivemarket.

Notes to Financial Statements

FOR THE PERIOD ENDED JUNE 30, 2020 AND 2019 (UNAUDITED)

1. ESTABLISHMENT OF FUNDS

The SEI Investments Group of Funds consists of the following open-ended mutual fund and unit trusts (each a Fund or

collectively referred to as the Funds) constituted under the laws of the Province of Ontario by Declaration of Trust. The address of

the Funds’ registered office is Suite 2810, 130 King Street West, Toronto, Ontario, M5X 1E3. SEI Investments Canada Company

(the “Manager”) is the Funds’ Manager. CIBC Mellon Trust Company is the Trustee of the Funds. The Manager is responsible for

the management of the overall business and operations of the Funds. The financial statements are presented in Canadian dollars

(CAD), which is also the functional currency for all Funds. These financial statements were authorized for issue by the Manager

on August 26, 2020. Class E, Class E hedged, Class F, Class F hedged, Class FC, Class I, Class O, Class O hedged, Class R, and

Class S units, as applicable, commenced as follows:

Fund Status of Fund

Date of

Declaration

of Trust

Agreement

Date Class E

Commenced

Date Class E

hedged

Commenced

Date Class F

Commenced

Date Class F

hedged

Commenced

Date Class

FC

Commenced

Date Class I

Commenced

x

Canadian Equity Fund Mutual Fund

September

20, 1996

November 1,

2010 N/A May 4, 2006 N/A N/A

February 1,

2002

x

Canadian Small Company Equity

Fund Mutual Fund

March 24,

2000

August 30,

2013 N/A April 18, 2006 N/A N/A N/A

x

U.S. Large Company Equity Fund Mutual Fund

August 31,

1999

November 1,

2010

November 1,

2010 April 17, 2006

March 6,

2010 N/A

February 1,

2002

x

U.S. Small Company Equity Fund Mutual Fund

August 31,

1999

November 1,

2010

November 1,

2010 April 17, 2006

March 6,

2010 N/A

February 1,

2002

x

International Equity Fund (formerly

EAFE Equity Fund) Mutual Fund

December 20,

1996

November 1,

2010 N/A April 17, 2006 N/A N/A

September

25, 2001

x

Emerging Markets Equity Fund Mutual Fund

December 20,

1996

November 1,

2010 N/A April 17, 2006 N/A N/A

February 1,

2002

x

Global Managed Volatility Fund Mutual Fund

January 27,

2012

August 30,

2013 N/A June 29, 2012 N/A July 2, 2019 N/A

x

Canadian Fixed Income Fund Mutual Fund July 18, 1996

November 1,

2010 N/A May 2, 2006 N/A N/A

February 1,

2002

x

Long Duration Bond Fund Unit Trust

November 18,

1997

August 30,

2013 N/A April 19, 2006 N/A N/A

March 29,

2004

x

Long Duration Credit Bond Fund Unit Trust

February 19,

2013 N/A N/A N/A N/A N/A N/A

x

Real Return Bond Fund Mutual Fund

March 17,

1995

August 30,

2013 N/A May 11, 2006 N/A N/A N/A

x

Money Market Fund Unit Trust April 4, 1996

August 30,

2013 N/A

December 19,

2006 N/A N/A

February 1,

2002

x

U.S. Large Cap Index Fund Unit Trust

June 21,

1996

November 1,

2010 N/A July 15, 2013

December 17,

2006 N/A N/A

x

Short Term Bond Fund Mutual Fund

January 18,

2006

November 1,

2010 N/A May 11, 2006 N/A N/A N/A

x

U.S. High Yield Bond Fund Mutual Fund May 29, 2009

November 1,

2010

November 1,

2010

September 11,

2009

March 6,

2010 N/A N/A

x

Conservative Monthly Income Fund* Mutual Fund June 9, 2006

August 30,

2013 N/A

December 8,

2006 N/A July 2, 2019 N/A

x

Balanced Monthly Income Fund* Mutual Fund June 9, 2006

August 30,

2013 N/A

September 28,

2006 N/A July 2, 2019 N/A

x

Short Term Investment Fund* Mutual Fund May 25, 2012

August 30,

2013 N/A July 12, 2012 N/A N/A N/A



x

Fund Status of Fund

Date of

Declaration

of Trust

Agreement

Date Class E

Commenced

Date Class E

hedged

Commenced

Date Class F

Commenced

Date Class F

hedged

Commenced

Date Class

FC

Commenced

Date Class I

Commenced

x

Income 100 Fund* Mutual Fund

April 16,

2003

August 30,

2013 N/A August 11, 2006 N/A N/A

June 11,

2003

x

Income 20/80 Fund* Mutual Fund

April 16,

2003

August 30,

2013 N/A July 17, 2006 N/A July 2, 2019

June 11,

2003

x

Moderate Fund* Mutual Fund

April 16,

2003

August 30,

2013 N/A June 7, 2006 N/A N/A

June 11,

2003

x


January 21,

2000

August 30,

2013 N/A

September 1,

2006 N/A July 2, 2019 June 2, 2003

x

Balanced Fund* Mutual Fund

April 16,

2003

August 30,

2013 N/A June 15, 2006 N/A N/A

June 11,

2003

x

Balanced 60/40 Fund* Mutual Fund

December 20,

1996

August 30,

2013 N/A April 20, 2006 N/A July 2, 2019

February 1,

2002

x

Growth Fund* Mutual Fund

January 21,

2000

August 30,

2013 N/A

September 15,

2006 N/A N/A June 2, 2003

x

Growth 80/20 Fund* Mutual Fund

April 11,

2001

August 30,

2013 N/A

October 27,

2006 N/A July 2, 2019

February 28,

2005

x

Growth 100 Fund* Mutual Fund

April 11,

2001

August 30,

2013 N/A April 27, 2006 N/A July 2, 2019 June 4, 2003

x

All Equity Fund* Mutual Fund

April 11,

2001

August 30,

2013 N/A

December 8,

2006 N/A N/A N/A

x

Conservative Fund* Unit Trust

June 18,

2014

October 31,

2014 N/A

October 31,

2014 N/A N/A N/A

x

Fund Status of Fund

Date of

Declaration

of Trust

Agreement

Date Class O

Commenced

Date Class O

hedged

Commenced

Date Class R

Commenced

Date Class S

Commenced

Date Class Z

Commenced

Date Class Z

hedged

Commenced

x

Canadian Equity Fund Mutual Fund

September

20, 1996

August 21,

1997** N/A N/A N/A

August 14,

2015 N/A

x

Canadian Small Company Equity

Fund Mutual Fund

March 24,

2000 May 07, 2001 N/A N/A N/A N/A N/A

x

U.S. Large Company Equity Fund Mutual Fund

August 31,

1999

November 24,

1999

March 6,

2010 N/A N/A

August 14,

2015

August 21,

2015

x

U.S. Small Company Equity Fund Mutual Fund

August 31,

1999

November 24,

1999

March 6,

2010 N/A N/A N/A N/A

x

International Equity Fund (formerly

EAFE Equity Fund) Mutual Fund

December 20,

1996

August 31,

1997** N/A N/A N/A

August 14,

2015 N/A

x

Emerging Markets Equity Fund Mutual Fund

December 20,

1996

August 31,

1997** N/A N/A N/A

August 14,

2015 N/A

x

Global Managed Volatility Fund Mutual Fund

January 27,

2012 Mar 30,2012 N/A N/A

August 14,

2015

August 14,

2015 N/A

x

Canadian Fixed Income fund Mutual Fund July 18, 1996

August 21,

1997** N/A N/A N/A

August 14,

2015 N/A

x

Long Duration Bond Fund Unit Trust

November 18,

1997

May 30,

2003** N/A N/A N/A N/A N/A

x

Long Duration Credit Bond Fund Unit Trust

February 19,

2013

June 28,

2013 N/A N/A N/A N/A N/A



x

Fund Status of Fund

Date of

Declaration

of Trust

Agreement

Date Class O

Commenced

Date Class O

hedged

Commenced

Date Class R

Commenced

Date Class S

Commenced

Date Class Z

Commenced

Date Class Z

hedged

Commenced

x

Real Return Bond Fund Mutual Fund

March 17,

1995 May 30, 2003 N/A N/A N/A

August 14,

2015 N/A

x

Money Market Fund Unit Trust April 4, 1996

August 31,

1997** N/A N/A N/A N/A N/A

x

U.S. Large Cap Index Fund Unit Trust

June 21,

1996

July 15,

2013**

January 14,

1999** N/A N/A N/A N/A

x

Short Term Bond Fund Mutual Fund

January 18,

2006

March 27,

2006 N/A N/A N/A

August 14,

2015 N/A

x

U.S. High Yield Bond Fund Mutual Fund May 29, 2009

September

11, 2009

March 6,

2010 N/A N/A

August 14,

2015

August 21,

2015

x

Conservative Monthly Income Fund* Mutual Fund June 9, 2006 July 31, 2006 N/A N/A

February 23,

2009

August 14,

2015 N/A

x

Balanced Monthly Income Fund* Mutual Fund June 9, 2006 July 31, 2006 N/A N/A July 2, 2019

August 14,

2015 N/A

x

Short Term Investment Fund* Mututal Fund May 25, 2012 July 12, 2012 N/A N/A N/A

August 14,

2015 N/A

x

Income 100 Fund* Mutual Fund

April 16,

2003

June 11,

2003 N/A June 30, 2008

January 16,

2012 N/A N/A

x


April 16,

2003

June 11,

2003 N/A June 30, 2008

February 23,

2009 N/A N/A

x

Moderate Fund* Mutual Fund

April 16,

2003

June 11,

2003 N/A June 30, 2008 N/A

August 14,

2015 N/A

x


January 21,

2000

August 21,

2002** N/A June 30, 2008

February 23,

2009 N/A N/A

x

Balanced Fund* Mutual Fund

April 16,

2003

June 11,

2003 N/A June 30, 2008 N/A

August 14,

2015 N/A

x

Balanced 60/40 Fund* Mutual Fund

December 20,

1996

May 7,

2001** N/A June 30, 2008

February 23,

2009 N/A N/A

x

Growth Fund* Mutual Fund

January 21,

2000

September

12, 2002** N/A June 30, 2008 N/A

August 14,

2015 N/A

x

Growth 80/20 Fund* Mutual Fund

April 11,

2001

August 21,

2002 N/A June 30, 2008

February 23,

2009 N/A N/A

x

Growth 100 Fund* Mutual Fund

April 11,

2001

August 21,

2002 N/A June 30, 2008

February 23,

2009 N/A N/A

x

All Equity Fund* Mutual Fund

April 11,

2001

December 28,

2005 N/A July 31, 2008 N/A

August 14,

2015 N/A

x

Conservative Fund* Unit Trust

June 18,

2014

October 31,

2014 N/A N/A N/A

August 14,

2015 N/A

x

* Collectively, the “SEI Asset Allocation Funds”

**The following Funds were, prior to being offered by prospectus, previously exclusively offered by private placement pursuant to

prospectus exemptions from the date appearing after the name of the relevant Fund: Money Market Fund – April 23, 1996;

Canadian Fixed Income Fund – July 25, 1996; Canadian Equity Fund – September 23, 1996; International Equity Fund and

Emerging Markets Equity Fund, both January 7, 1997; U.S. Large Cap Index Fund – June 25, 1996; Long Duration Bond Fund –

March 17, 1995; Balanced 60/40 Fund – September 20, 1996; Income 40/60 Fund and Balanced Growth Fund (formerly

Growth Fund) – January 21, 2000.



The Schedule of Investment Portfolio is as at June 30, 2020. The Statements of Financial Position are as at June 30, 2020 and

December 31, 2019. The Statements of Comprehensive Income (Loss), Statements of Changes in Net Assets Attributable to

Holders of Redeemable Units and Statements of Cash Flows are for the periods ended June 30, 2020 and 2019.

2. BASIS OF PRESENTATION

These financial statements have been prepared in accordance with International Financial Reporting Standards (IFRS), including

IAS 34, Interim Financial Reporting as issued by the International Accounting Standards Board (IASB). The financial statements

have been prepared under the historical cost convention, as modified by the revaluation of financial assets and financial

liabilities (including derivative financial instruments) at fair value through profit and loss (FVTPL).

3. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The principal accounting policies applied in the preparation of these financial statements are set out below. These policies have

been consistently applied to all the years presented, unless otherwise stated.

(a) Upon initial recognition, financial instruments are measured at fair value. Investments (non-derivative financial assets)

based on the business model under IFRS 9 and derivatives assets and liabilities are classified and measured at FVTPL.

The Funds’ obligation for net assets attributable to holders of redeemable units is presented at the redemption amount.

All other financial assets and liabilities are classified and measured at amortized cost which approximates fair value due

to their short term nature. Financial assets and liabilities are shown at the amount required to be received or paid,

discounted, when appropriate, at the contract’s effective interest rate.

(b) Units of each class are issued and redeemed at their net asset value per unit, which is determined at the close of each

business day. The net asset value per unit for each class is determined by dividing the total net asset value of each class

by the total number of units outstanding of that class. Management fees directly attributable to a class are charged to

that class. Fund operating expenses, income, and realized and unrealized gains and losses are allocated proportionately

to each class based upon the relative net asset value of each class. The hedged classes, as applicable, will generally

minimize their exposure to foreign currency risk by utilizing forward foreign currency contracts. The realized and

unrealized forward foreign currency contract gains and losses attributed to the hedged classes are allocated solely to the

hedged classes.

(c) Investments held include equities, listed warrants, short-term notes, treasury bills, bonds, asset backed securities, other

debt instruments and mutual funds units. Investments held that are traded in an active market through recognized

public stock exchanges, over-the-counter markets, or through recognized investment dealers, are valued at their last

traded market price where the last traded market price falls within the bid-ask spread. In circumstances where the last

traded price is not within the bid-ask spread, the Manager determines the point within the bid-ask spread that is most

representative of fair value based on specific facts and circumstances.

Investments held that are not traded in an active market are valued based on the results of valuation techniques using

observable market inputs, if available, on such basis and in such manner established by the Manager. The fair value of

certain securities may be estimated using valuation techniques based on assumptions that are not supported by

observable market inputs.

The Funds utilize a three-tier hierarchy as a framework for disclosing fair value based on inputs used to value the Funds’

investments. The hierarchy of inputs is summarized below:

l quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1);

l inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly (i.e.,

as prices) or indirectly (i.e., derived from prices) (Level 2);

l inputs for the asset or liability that are not based on observable market data (unobservable inputs) (Level 3).



Changes in valuation methods may result in transfers into or out of an investment’s assigned level. Please refer to the

Fund specific notes to the financial statements for fund-specific disclosure.

The Funds’ policy is to recognize transfer into and out of the fair value hierarchy levels as of the date of the event or

change in circumstances giving rise to the transfer.

(d) The Funds’ subscriptions and redemptions are denominated in Canadian dollars. The fair value of foreign investments

and other assets and liabilities are translated into Canadian dollars at the exchange rate prevailing on the valuation date.

Purchases and sales of foreign securities and the related income are translated into Canadian dollars at the exchange

rate prevailing on the respective dates of such transactions. Realized gains and losses on foreign currency translation are

included in the Statements of Comprehensive Income (Loss) as Foreign exchange gain (loss) on foreign currency

translation. Unrealized gains and losses on foreign currency translation are included in the Statements of Comprehensive

Income (Loss) as Net change in unrealized appreciation (depreciation) on foreign exchange.

(e) The cost of investments represents the amount paid for each security and is determined on an average cost basis

excluding commissions and other transaction costs.

(f) Income and expenses are recorded on an accrual basis. Dividends are recorded on the ex-dividend date. Distributions

from investments are recorded as income, capital gains, or a return of capital, based on the nature of these distributions.

Actual allocations could vary from this information. Distributions that are treated as a return of capital for income tax

purposes reduce the average cost of the underlying investment. Distributions from underlying funds are recognized on

the distribution date. Regular way security transactions are recorded on the trade date for financial reporting purposes.

The unrealized appreciation (depreciation) in the value of a security represents the difference between its fair value and

its average cost and it is included in the Net change in unrealized appreciation (depreciation) of investments or Net

change in unrealized appreciation (depreciation) of investments and derivatives, as applicable, in the Statements of

Comprehensive Income (Loss). A realized gain (loss) is recognized when a security is sold. The realized gain (loss) is the

difference between the proceeds received and the average cost of the security and is included on the Net realized gain

(loss) on sale of investments on the Statements of Comprehensive Income (Loss). The interest for distribution purposes

shown on the Statements of Comprehensive Income (Loss) represents the coupon interest received by the Funds,

accounted for on an accrual basis. Zero coupon bonds are purchased at a discount and are amortized over the term of

the bond.

(g) Increase (decrease) in net assets attributable to holders of redeemable units per unit of a class in the Statements of

Comprehensive Income (Loss) represents the increase (decrease) in net assets attributable to holders of redeemable

units per class, divided by the weighted average number of units of that class outstanding during the reporting period.

(h) For each mutual fund unit sold, the Funds receive an amount equal to the net asset value per unit on the date of sale.

Units are redeemable at the option of the unitholders at their net asset value on the redemption date. For each unit

redeemed, the number of issued and outstanding units is reduced and the net asset value of the Fund is reduced as of

the date of redemption.

(i) Futures contracts entered into by the Funds are financial agreements to purchase or sell a financial instrument at a

contracted price on a specific date. However, the Funds do not intend to purchase or sell the financial instruments on

settlement date; rather, they intend to close out each futures contract before settlement date by entering into equal, but

offsetting, futures contracts. Futures are valued at the gain or loss that would arise as a result of closing the position at

the valuation date. Gains or losses arising from futures contracts at the close of business of each valuation date is

recorded as Net change in unrealized appreciation (depreciation) of investments and derivatives on the Statements of

Comprehensive Income (Loss) until the contracts are closed out or expire, at which time the gains or losses are realized

and are recorded as Derivative income (loss) on the Statements of Comprehensive Income (Loss). The margins on deposit

with brokers relating to futures contracts are included in Margin receivable or Margin payable on the Statements of

Financial Position.

(j) Forward currency contracts entered into by the Funds are financial agreements to buy or sell a specific amount of an

underlying currency for an agreed upon price at a future date. The fair value of these contracts is the gain or loss that

would be recognized if the position was closed out on the valuation date, and is recorded as Net change in unrealized

appreciation (depreciation) of investments and derivatives on the Statements of Comprehensive Income (Loss). When the



forward currency contracts are closed out or expire, the gains or losses are reported as Derivative income (loss) on the

Statements of Comprehensive Income (Loss).

(k) Options contracts entered into by the Funds are financial agreements that gives the purchaser the right, but not the

obligation, to buy or sell an underlying asset at a strike price prior to or on a specified date. Option premiums paid or

received by the Fund are, so long as the options are outstanding, reflected as an asset or liability, respectively, in the

Statements of Financial Position and are valued at an amount equal to the current market value of an option that would

have the effect of closing the position. Gains or losses arising from options contracts at the close of business of each

valuation date is recorded as Net change in unrealized appreciation (depreciation) of investments and derivatives on the

Statements of Comprehensive Income (Loss) until the contracts are expired, repurchased or exercised, at which time the

gains or losses are realized and are recorded as Derivative income (loss) on the Statements of Comprehensive Income

(Loss).

(l) Interest rate and total return swaps are financial agreements to exchange or swap investment cash flows at specified,

future intervals. In an interest rate swap, the Funds and their counterparties agree to exchange a fixed payment for a

floating payment that is based on an interest rate and an agreed upon notional amount. The periodic payments received

or paid are included in Derivative income (loss) on the Statements of Comprehensive Income (Loss). In a total return

swap, a single or multiple cash flows are exchanged based on the price of an underlying reference asset and on a

variable interest rate and may involve commitments to pay interest in exchange for a market-linked return. As a receiver

at maturity date, the Funds would receive payments based on any net positive return and would owe payments in the

event of a net negative return. As a payer at maturity date, the Funds would owe payments on any net positive return,

and would receive payments in the event of a net negative total return. Interest rate and total return swap contracts are

fair valued on each valuation day using indicative close prices from the counterparty. The change in fair value is

included in Net change in unrealized appreciation (depreciation) on investments and derivatives and upon closing or

expiry of a contract, the gain or loss is included in Derivative income (loss) on the Statements of Comprehensive Income

(Loss).

(m) The Funds are required to distribute any taxable net income and taxable capital gains that they had earned in the year.

Income earned by the Funds is distributed to unitholders and these distributions are either paid in cash or reinvested by

unitholders into additional units of the Funds. Distributions to holders of redeemable units are recognized in the

Statements of Changes in Net assets Attributable to Holders of Redeemable Units. The units of the Funds are classified

as financial liabilities in accordance with IAS 32 as there is a contractual obligation to distribute net income and capital

gains in cash (at the request of the unitholder).

(n) The Funds have determined that the definition of an ‘investment entity’ has been met for all Funds and as a result, it

measures subsidiaries, if any, at FVTPL. The following conditions exist that allow for this conclusion:

l The Funds primary purpose is to obtain funds from investors to provide them with investment management services.

l The Funds’ business purpose, which was communicated directly to investors, is investing solely for returns from

capital appreciation, investment income, or both.

l The performance of substantially all investments is measured on a fair value basis.

4. CRITICAL ACCOUNTING ESTIMATES AND JUDGMENTS

The preparation of financial statements requires management to use judgement in applying its accounting policies and to make

estimates and assumptions about the future. The following discusses the most significant accounting judgements and estimates

that the Funds have made in preparing the financial statements:

Fair value measurement of derivatives and securities not quoted in an active market

The Funds may hold financial instruments that are not quoted in active markets, including derivatives. Fair values of such

instruments are determined using valuation techniques and may be determined using reputable pricing sources. Broker quotes

as obtained from the pricing sources may be indicative and not executable. Where no market data is available, the Funds may

value positions using its own models, which are usually based on valuation methods and techniques generally recognized as



standard within the industry. The models used to determine fair values are validated and periodically reviewed by the Manager,

independent of the party that created them. The models used for private equity securities are based mainly on earnings multiples

adjusted for a lack of marketability as appropriate.

Models use observable data, to the extent practicable. However, areas such as credit risk, volatilities and correlations require the

Manager to make estimates. Changes in assumptions about these factors could affect the reported fair values of financial

instruments. The Funds consider observable data to be market data that is readily available, regularly distributed and updated,

reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.

Please refer to the Fund specific notes to the financial statements for fund-specific disclosure.

Classification and measurement of investments and application of the fair value option

In classifying and measuring financial instruments held by the Funds, the Manager is required to make significant judgments

about whether or not the business of the Funds is to invest on a total return basis for the purpose of applying the fair value option

for financial assets under IFRS 9. The Manager has assessed the Funds’ business model, the manner in which all financial

instruments are managed and performance evaluated as a group on a fair value basis, and concluded that FVTPL in accordance

with IFRS 9 provides the most appropriate classification and measurement of the Funds’ financial instruments.

The Fund's portfolio of investments is managed, and performance is evaluated, on a fair value basis. The Fund is primarily

focused on fair value information and uses that information to assess the asset's performance and to make decisions. The Fund

has not taken the option to irrevocably designate any equity securities as fair value through other comprehensive income

("FVOCI"). The contractual cash flows of the Fund's debt securities that are solely principal and interest are neither held for the

purpose of collecting contractual cash flows nor held both for collecting contractual cash flows and for sale. The collection of

contractual cash flows is only incidental to achieving the Fund's business model's objective. Consequently, all investments are

measured at fair value through profit or loss ("FVTPL"). Derivative assets and liabilities are also measured at FVTPL.

5. REDEEMABLE UNITS

The capital of the Funds is represented by issued redeemable units with no par value. Unitholders are entitled to distributions, if

any, and to payment of a proportionate share of the Funds’ net assets attributable to holder's redeemable units based on the

Funds’ net asset value per unit upon redemption. The Funds have no restrictions or specific capital requirements on the

subscription and redemption of units other than the minimum subscriptions for an initial and subsequent investments. Capital

movements are shown on the Statements of Changes in Net Assets Attributable to Holders of Redeemable Units. In accordance

with their investment strategies and risk management policies, the Funds endeavour to invest their subscriptions received in

appropriate investments while maintaining sufficient liquidity to meet redemptions.

On July 2, 2019, certain Funds launched new Class FC and Class S units and terminated their Class Z and Class Z(H) units. On

June 17, 2020 certain Funds terminated their Class E, F, F(H), O(H) and S units. The following table summarizes the changes in

the number of units for the periods ended June 30, 2020 and 2019:

Balance - beginning of the

period

Units issued during the

period

Units redeemed during

the period

Units reinvested during

the period Balance - end of the period

2020 2019 2020 2019 2020 2019 2020 2019 2020 2019

x

CANADIAN EQUITY FUND

x

Class E 592,807 759,365 38,474 6,731 (79,858) (108,374) - - 551,423 657,722

x

Class F 237,602 309,654 13,410 18,726 (41,668) (81,016) - - 209,344 247,364

x

Class O 64,710,115 78,021,586 5,303,804 2,144,128 (9,097,285) (9,243,878) 11 - 60,916,645 70,921,836

x

Class Z - 633 - - - - - - - 633

x

CANADIAN SMALL COMPANY EQUITY FUND

x

Class E 88,566 109,045 10,449 1,150 (7,983) (13,645) - - 91,032 96,550

x

Class F 93,320 125,844 9,128 24,974 (28,290) (35,135) - - 74,158 115,683

x

Class O 16,865,770 18,458,832 1,553,467 771,012 (2,000,334) (2,275,507) - - 16,418,903 16,954,337

x

U.S. LARGE COMPANY EQUITY FUND

x




period


period


the period



2020 2019 2020 2019 2020 2019 2020 2019 2020 2019

x

Class E 1,663,390 2,056,406 69,597 74,393 (246,163) (293,131) - - 1,486,824 1,837,668

x

Class E hedged 30,322 65,113 27 7 (11,518) (25,858) - - 18,831 39,262

x

Class F 1,082,678 1,195,509 32,650 105,926 (196,585) (181,605) - - 918,743 1,119,830

x

Class F hedged 243,044 490,589 3,043 30,704 (166,849) (71,021) - - 79,238 450,272

x

Class I 17 16 - - - - - - 17 16

x

Class O 88,043,836 96,956,631 5,134,757 4,291,325 (15,578,396) (11,130,580) 41 - 77,600,238 90,117,376

x

Class O hedged 1,512,999 1,555,410 447 505 (16,897) (1,845) - - 1,496,549 1,554,070

x

Class Z - 1,411 - - - - - - - 1,411

x

Class Z hedged - 1,455 - - - - - - - 1,455

x

U.S. SMALL COMPANY EQUITY FUND

x

Class E 240,414 289,104 50,640 3,173 (40,242) (28,896) - - 250,812 263,381

x

Class E hedged 6,832 7,268 - - - - - - 6,832 7,268

x

Class F 131,840 141,799 24,558 16,233 (43,132) (31,712) - - 113,266 126,320

x

Class F hedged 11,380 56,106 25,100 1,561 (13) (38,892) - - 36,467 18,775

x

Class I 231 230 - - - - - - 231 230

x

Class O 16,882,462 17,656,665 2,548,749 1,076,486 (1,771,188) (1,634,083) 4 - 17,660,027 17,099,068

x

Class O hedged 4,285 32,899 - - (4,285) - - - - 32,899

x

INTERNATIONAL EQUITY FUND

x

Class E 1,291,291 1,594,700 114,253 22,758 (160,485) (179,928) - 126 1,245,059 1,437,656

x

Class F 955,118 1,335,317 70,549 63,732 (235,462) (269,929) - 1,302 790,205 1,130,422

x

Class I 6,891 6,759 - - - - - 9 6,891 6,768

x

Class O 103,005,524 114,174,609 9,956,211 5,319,823 (9,011,924) (16,557,940) 35 394,494 103,949,846 103,330,986

x

Class Z - 1,668 - - - - - 7 - 1,675

x

EMERGING MARKETS EQUITY FUND

x

Class E 497,100 589,754 59,341 8,019 (51,558) (73,339) - - 504,883 524,434

x

Class F 968,625 539,751 214,444 217,991 (181,719) (73,862) - - 1,001,350 683,880

x

Class I 908 896 - - - - - - 908 896

x

Class O 41,380,906 42,997,269 2,544,278 7,485,677 (4,253,058) (4,937,669) - - 39,672,126 45,545,277

x

Class Z - 2,712 - - - - - - - 2,712

x

GLOBAL MANAGED VOLATILITY FUND

x

Class E 588,704 723,011 76,026 17,490 (80,569) (152,606) - - 584,161 587,895

x

Class F 149,794 496,585 57,259 339,602 (32,663) (51,539) - - 174,390 784,648

x

Class FC 826,173 - 138,337 - (73,093) - - - 891,417 -

x

Class O 34,127,686 34,146,425 2,468,676 1,883,796 (1,746,032) (2,342,063) 4 - 34,850,334 33,688,158

x

Class S 687 680 - - (687) - - - - 680

x

Class Z - 688 - - - - - - - 688

x

CANADIAN FIXED INCOME FUND

x

Class E 1,143,572 1,418,257 43,175 56,494 (177,478) (266,081) 7,194 9,386 1,016,463 1,218,056

x

Class F 1,149,688 1,141,427 333,267 187,336 (236,727) (235,407) 11,338 11,229 1,257,566 1,104,585

x

Class O 158,298,727 175,563,128 11,948,133 6,843,564 (24,492,888) (20,916,643) 1,988,028 2,257,010 147,742,000 163,747,059

x




period


period


the period



2020 2019 2020 2019 2020 2019 2020 2019 2020 2019

x

Class Z - 924 - - - - - 14 - 938

x

LONG DURATION BOND FUND

x

Class E 598 569 - - (82) - - - 516 569

x

Class F 20,706 12,074 15,540 2,126 (217) (262) - - 36,029 13,938

x

Class O 29,190,394 27,503,376 6,636,202 1,309,392 (9,070,071) (2,480,730) - - 26,756,525 26,332,038

x

LONG DURATION CREDIT BOND FUND

x

Class O 24,518,293 24,312,513 2,972,049 1,317,640 (5,042,589) (2,614,914) - - 22,447,753 23,015,239

x

REAL RETURN BOND FUND

x

Class E 144,561 193,389 12,075 2,458 (30,202) (35,673) - - 126,434 160,174

x

Class F 95,304 116,141 2,585 4,597 (19,154) (22,267) - - 78,735 98,471

x

Class O 23,760,975 26,602,147 1,399,515 1,100,991 (4,600,085) (2,957,960) 9 - 20,560,414 24,745,178

x

Class Z - 646 - - - - - - - 646

x

MONEY MARKET FUND

x

Class E 310,583 290,073 1,025,581 201,563 (392,440) (263,176) 3,964 1,919 947,688 230,379

x

Class F 10,253 19,139 33,870 16,459 (12,826) (17,817) 126 150 31,423 17,931

x

Class I 75,048 144,576 39,737 11,368 (13,256) (68,493) 654 908 102,183 88,359

x

Class O 7,530,436 5,754,095 3,387,865 3,194,116 (3,964,254) (1,775,554) 69,585 63,939 7,023,632 7,236,596

x

U.S. LARGE CAP INDEX FUND

x

Class F 1,068 981 - - (1,068) - - - - 981

x

Class F hedged - 89,165 - - - (89,165) - - - -

x

Class O 2,546,985 1,797,070 989,258 25,034 (766,265) (421,489) - - 2,769,978 1,400,615

x

Class O hedged 7,068,039 7,578,106 356,412 240,589 (346,420) (301,605) - - 7,078,031 7,517,090

x

SHORT TERM BOND FUND

x

Class E 265,568 401,229 19,590 1,350 (34,092) (99,123) 1,823 1,802 252,889 305,258

x

Class F 215,902 279,454 1,951 5,854 (41,756) (52,393) 1,626 1,908 177,723 234,823

x

Class O 36,701,824 38,755,812 1,705,731 1,865,858 (2,977,156) (3,591,085) 446,637 442,795 35,877,036 37,473,380

x

Class Z - 1,086 - - - - - 13 - 1,099

x

U.S. HIGH YIELD BOND FUND

x

Class E 154,026 130,293 23,616 14,703 (22,663) (15,544) 3,695 3,359 158,674 132,811

x

Class E hedged 288,385 360,530 33,355 5,566 (47,353) (57,896) 1,088 7,678 275,475 315,878

x

Class F 467,996 91,091 99,209 188,641 (87,146) (15,348) 12,975 5,313 493,034 269,697

x

Class F hedged 513,651 519,641 461,214 93,760 (182,095) (135,066) 10,561 13,193 803,331 491,528

x

Class O 2,656,233 1,473,421 9,564 1,147,936 (1,210,415) (192,553) 41,289 65,073 1,496,671 2,493,877

x

Class O hedged 45,764,015 47,123,653 2,556,211 2,263,259 (3,325,835) (5,360,267) 340,002 1,441,466 45,334,393 45,468,111

x

Class Z - 887 - - - - - 33 - 920

x

Class Z hedged - 856 - - - - - 27 - 883

x

CONSERVATIVE MONTHLY INCOME FUND

x

Class E 1,794,870 2,075,468 144,571 159,774 (131,208) (391,947) 27,124 25,320 1,835,357 1,868,615

x




period


period


the period



2020 2019 2020 2019 2020 2019 2020 2019 2020 2019

x

Class F 46,161 217,678 38,146 5,297 (5,272) (16,285) 964 3,362 79,999 210,052

x

Class FC 129,125 - 172,304 - (11,301) - 3,136 - 293,264 -

x

Class O 281,474 293,213 22,776 62,963 (24,213) (87,069) 5,470 4,242 285,507 273,349

x

Class S 49,399,018 54,924,432 1,663,903 2,046,432 (4,379,431) (7,173,623) 876,419 879,882 47,559,909 50,677,123

x

Class Z - 1,204 - - - - - 23 - 1,227

x

BALANCED MONTHLY INCOME FUND

x

Class E 6,259,406 6,737,052 279,628 251,183 (660,999) (726,112) 89,889 79,635 5,967,924 6,341,758

x

Class F 124,623 3,422,508 2,405 288,081 (2,468) (404,324) 2,106 40,814 126,666 3,347,079

x

Class FC 3,355,890 - 126,311 - (275,808) - 58,360 - 3,264,753 -

x

Class O 153,296 108,589 28,774 63,080 (8,337) (16,187) 2,535 2,375 176,268 157,857

x

Class S 4,130 - - - - - 113 - 4,243 -

x

Class Z - 1,434 - - - - - 35 - 1,469

x

SHORT TERM INVESTMENT FUND

x

Class E 51,487 60,935 - - - (90) 325 374 51,812 61,219

x

Class F 48,098 47,445 - - - - 326 343 48,424 47,788

x

Class O 443,165 469,880 9,447 23,168 (65,229) (56,751) 3,730 4,336 391,113 440,633

x

Class Z - 1,087 - - - - - 11 - 1,098

x

INCOME 100 FUND

x

Class E 475,410 890,322 39,824 19,474 (59,619) (323,823) - - 455,615 585,973

x

Class F 77,035 98,226 - - (4,127) (15,439) - - 72,908 82,787

x

Class O 671,818 616,786 28,961 54,274 (68,560) (16,206) - - 632,219 654,854

x

Class R 122,576 72,673 87,527 57,733 (103,049) (831) - - 107,054 129,575

x

Class S 707,208 707,339 267,295 36,164 (119,793) (117,808) - - 854,710 625,695

x

INCOME 20/80 FUND

x

Class E 1,690,259 2,624,213 23,236 150,274 (284,782) (336,825) - - 1,428,713 2,437,662

x

Class F 383,797 432,602 15,508 77,061 (88,798) (11,781) - - 310,507 497,882

x

Class FC 89,525 - 9,604 - (5,469) - - - 93,660 -

x

Class I 1,052,851 1,461,923 87,955 108,426 (91,353) (541,800) 2,007 3,802 1,051,460 1,032,351

x

Class O 947,233 825,322 337,667 40,559 (194,691) (85,846) - - 1,090,209 780,035

x

Class R 302,394 146,890 100,544 95,281 (119,619) (59,658) - - 283,319 182,513

x

Class S 23,390,487 25,457,246 1,835,364 1,033,723 (2,014,880) (2,758,261) 37 11 23,211,008 23,732,719

x

INCOME BALANCED FUND (FORMERLY MODERATE

FUND)

x

Class E 3,109,222 3,976,029 36,918 91,171 (314,161) (619,113) - - 2,831,979 3,448,087

x

Class F 606,644 747,619 104,614 49,682 (99,985) (220,970) - - 611,273 576,331

x

Class I 79,891 81,300 - 116 (79,891) (2,880) - - - 78,536

x

Class O 1,388,895 1,539,068 104,932 211,763 (404,346) (265,388) - - 1,089,481 1,485,443

x

Class R 547,251 484,310 50,567 111,414 (75,376) (27,905) - - 522,442 567,819

x

Class Z - 2,015 - - - - - - - 2,015

x




period


period


the period



2020 2019 2020 2019 2020 2019 2020 2019 2020 2019

x

INCOME 40/60 FUND

x

Class E 6,369,024 7,555,216 170,193 179,984 (750,813) (817,996) 257 - 5,788,661 6,917,204

x

Class F 755,814 1,310,124 105,787 665,962 (76,990) (109,545) - - 784,611 1,866,541

x

Class FC 1,477,034 - 806,365 - (257,906) - - - 2,025,493 -

x

Class I 534,334 502,039 49,730 55,136 (31,518) (96,895) 1,025 1,409 553,571 461,689

x

Class O 2,241,758 1,778,603 260,244 330,457 (218,035) (168,556) - - 2,283,967 1,940,504

x

Class R 943,533 877,587 131,803 50,693 (60,293) (41,147) - - 1,015,043 887,133

x

Class S 105,873,510 94,832,472 7,714,123 13,509,238 (7,355,917) (6,641,751) 32 - 106,231,748 101,699,959

x

NEUTRAL BALANCED FUND (FORMERLY BALANCED

FUND)

x

Class E 6,205,844 8,204,526 73,747 246,274 (707,469) (1,372,548) - - 5,572,122 7,078,252

x

Class F 1,196,330 2,214,398 34,850 193,900 (117,186) (1,062,343) - - 1,113,994 1,345,955

x

Class O 1,557,812 1,812,369 104,256 53,342 (80,706) (293,892) - - 1,581,362 1,571,819

x

Class R 869,902 791,765 188,729 146,410 (132,671) (64,642) - - 925,960 873,533

x

Class Z - 1,844 - - - - - - - 1,844

x

BALANCED 60/40 FUND

x

Class E 17,135,559 19,099,766 555,494 1,230,847 (1,508,873) (1,992,923) - - 16,182,180 18,337,690

x

Class F 1,720,224 2,479,248 127,312 297,232 (313,553) (238,438) - - 1,533,983 2,538,042

x

Class FC 950,129 - 475,115 - (128,728) - - 1,296,516 -

x

Class I 996,709 1,280,068 79,434 80,367 (91,804) (340,353) 1,978 3,401 986,317 1,023,483

x

Class O 4,536,409 4,917,088 283,810 419,052 (705,609) (599,872) 9 1 4,114,619 4,736,269

x

Class R 7,867,319 7,498,280 866,322 741,779 (505,730) (424,521) - - 8,227,911 7,815,538

x

Class S 83,134,448 82,874,336 5,437,344 6,915,159 (6,060,902) (6,606,954) 133 1,195 82,511,023 83,183,736

x

BALANCED GROWTH FUND (FORMERLY GROWTH FUND)

x

Class E 10,136,694 11,536,688 349,391 439,693 (1,148,434) (1,149,183) - - 9,337,651 10,827,198

x

Class F 1,079,503 1,171,578 55,824 29,109 (187,974) (179,177) - - 947,353 1,021,510

x

Class O 1,529,447 1,921,606 42,676 77,625 (86,381) (157,646) - - 1,485,742 1,841,585

x

Class R 1,263,139 1,328,647 68,859 55,631 (81,467) (181,753) - - 1,250,531 1,202,525

x

Class Z - 2,028 - - - - - - - 2,028

x

GROWTH 80/20 FUND

x

Class E 4,515,775 5,012,442 134,810 281,718 (425,938) (565,173) - - 4,224,647 4,728,987

x

Class F 666,500 935,905 6,050 83,280 (85,140) (59,594) - - 587,410 959,591

x

Class FC 294,715 - 92,772 - (71,517) - - 315,970 -

x

Class I 1,293,622 1,525,672 108,237 113,201 (84,852) (304,789) 2,954 4,744 1,319,961 1,338,828

x

Class O 2,354,280 2,515,739 252,945 259,756 (239,689) (274,576) - - 2,367,536 2,500,919

x

Class R 3,832,273 3,484,806 624,163 443,410 (368,239) (178,214) - - 4,088,197 3,750,002

x

Class S 26,208,678 24,758,450 2,994,477 3,014,802 (2,108,278) (2,021,072) 67 36 27,094,944 25,752,216

x

GROWTH 100 FUND

x

Class E 2,564,218 3,071,191 121,013 174,902 (338,001) (517,210) - - 2,347,230 2,728,883

x




period


period


the period



2020 2019 2020 2019 2020 2019 2020 2019 2020 2019

x

Class F 173,862 235,071 2,409 15,397 (9,753) (17,077) - - 166,518 233,391

x

Class FC 61,633 - 1,724 - (24,072) - - - 39,285 -

x

Class I 732,645 955,395 77,121 68,147 (41,336) (280,597) 2,104 3,602 770,534 746,547

x

Class O 936,351 858,093 110,057 124,181 (109,670) (80,622) - - 936,738 901,652

x

Class R 2,213,427 2,118,476 596,119 309,776 (253,320) (175,650) - - 2,556,226 2,252,602

x

Class S 6,760,765 6,352,544 880,894 774,351 (500,885) (597,014) - 25 7,140,774 6,529,906

x

ALL EQUITY FUND

x

Class E 822,392 1,152,436 36,495 33,628 (130,978) (240,695) - - 727,909 945,369

x

Class F 256,705 293,937 13,052 16,727 (69,085) (47,396) - - 200,672 263,268

x

Class O 359,211 309,521 82,459 46,474 (16,718) (18,983) - - 424,952 337,012

x

Class R 130,669 136,165 7,149 9,171 (14,490) (8,969) - - 123,328 136,367

x

Class Z - 1,492 - - - - - - 1,492

x

CONSERVATIVE FUND

x

Class E 7,346 2,349 5,736 129 (119) - - - 12,963 2,478

x

Class F 26,431 2,414 - - (1,965) - - - 24,466 2,414

x

Class O 12,643 31,422 12,238 2,528 (3,051) (5,028) - - 21,830 28,922

x

Class Z - 2,438 - - - - - - - 2,438

x

A unitholder of a Fund is entitled by giving written notice to the Manager to require payment of the net asset value per unit of

that Fund for all or any of the units of such unitholder. Such notice must be received no later than 4:00 p.m., EST, on any

valuation day upon which the units are to be redeemed. The notice must be irrevocable and the signature thereon must be

guaranteed by a Canadian chartered bank, a trust company or an investment dealer acceptable to the Manager.

6. INCOME TAXES

Each Fund qualifies or intends to qualify (see note 1) as a mutual fund trust under the provisions of the Income Tax Act (Canada)

(the “Act”). All income and capital gains of the Funds for the year are distributed to the unitholders to the extent necessary to

reduce taxes payable under Part I of the Income Tax Act (Canada) to nil. Taxes payable on capital gains retained in a Fund that is

a mutual fund trust are generally refundable on a formula basis to the extent the units of the Fund are redeemed during the year.

The Funds made the following provision for income taxes in the Statements of Comprehensive Income (Loss) for the periods

ended June 30, 2020 and 2019:

2020 2019

(in thousands of dollars)

$ $

U.S. Large Cap Index Fund - 28

There are capital loss carry-forwards available in the following Funds as at December 31, 2019, the benefit of which has not

been recognized:

x

Short Term Bond Fund $ 9,472,515

International Equity Fund 120,324,868

Real Return Bond Fund 3,639,277



x

Canadian Fixed Income Fund 6,782,325

Income 100 Fund 310,208

U.S. Small Company Equity Fund 341,631

These capital losses for income tax purposes may be carried forward indefinitely and applied against capital gains realized in

future years.

There are no non-capital loss carry-forwards (the benefit of which has not been recognized) as at December 31, 2019 which may

be applied against future taxable income.

7. MANAGEMENT FEES AND EXPENSES

(a) Under the terms of the trust agreement governing the Funds, all expenses of the Funds other than any compensation to the

Manager of the Funds relating to Class O, Class O hedged and Class R units, are payable by the Funds except for Class F

units where operating expenses are paid outside the Funds. In the case of the Class R units, each Fund is responsible for five

basis points of operating expenses that are attributable to such units and the Manager is responsible for the balance of these

operating expenses.

(b) The Manager may agree to a reduced management fees for certain Class I unitholders. This is achieved by the Funds making

individual distribution payments, referred to as “Management Fee Distributions” to these unitholders. The amount of such

Management Fee Distribution to a unitholder is negotiable between the Manager and the unitholder and depends primarily on

the amount invested. Management fee rebates are recorded as distributions to unitholders and as a credit to the Management

Fee expense.

(c) For Class O and Class O hedged units, compensation paid to the Manager for management of the Funds is payable directly by

investors outside the Funds. The Manager’s compensation for management services is subject to separate agreements with

unitholders and varies based upon such factors as the particular Fund and the amount invested. In the case of Class R units,

all compensation for the Manager’s services are paid pursuant to a separate management agreement entered into with the

corporate sponsor of the group retirement and savings plans in which holders of Class R units participate. For all other

Classes, management fees are calculated based on the daily net asset value of the Class and the following percentages:

Class E/ Class E

hedged

Class F*/ Class

F hedged* Class FC Class I Class S

Canadian Equity Fund 1.63% 0.90% NA 0.85% NA

Canadian Small Company Equity Fund 1.63% 0.95% NA 0.90% NA

U.S. Large Company Equity Fund 1.63% 0.90% NA 0.85% NA

U.S. Small Company Equity Fund 1.63% 1.00% NA 0.90% NA

International Equity Fund 1.72% 1.00% NA 1.00% NA

Emerging Markets Equity Fund 1.99% 1.15% NA 1.25% NA

Global Managed Volatility Fund 1.68% 0.95% 0.65% NA 1.68%

Canadian Fixed Income Fund 1.14% 0.75% NA 0.65% NA

Long Duration Bond Fund 1.14% 0.75% NA 0.65% NA

Long Duration Credit Bond Fund NA NA NA NA NA

Real Return Bond Fund 1.14% 0.75% NA 0.65% NA

Money Market Fund 0.50% 0.60% NA 0.50% NA

U.S. Large Cap Index Fund 1.30% 0.60% NA 0.50% NA

Short Term Bond Fund 1.14% 0.75% NA 0.65% NA

U.S. High Yield Bond Fund 1.23% 0.85% NA 0.85% NA

Conservative Monthly Income Fund 1.16% 0.85% 0.45% 0.70% 1.41%

Balanced Monthly Income Fund 1.54% 0.95% 0.60% 0.70% 1.50%



Class E/ Class E

hedged

Class F*/ Class

F hedged* Class FC Class I Class S

Short Term Investment Fund 0.50% 0.60% NA NA NA

Income 100 Fund 1.01% 0.85% NA 0.70% 1.10%

Income 20/80 Fund 1.01% 0.85% 0.40% 0.70% 1.15%

Moderate Fund 1.16% 0.90% NA 0.70% 1.35%

Income 40/60 Fund 1.41% 0.90% 0.45% 0.70% 1.35%

Balanced Fund 1.54% 0.90% NA 0.70% 1.50%

Balanced 60/40 Fund 1.54% 0.95% 0.60% 0.70% 1.50%

Growth Fund 1.63% 1.00% NA 0.70% 1.56%

Growth 80/20 Fund 1.63% 1.00% 0.65% 0.75% 1.56%

Growth 100 Fund 1.63% 1.00% 0.65% 0.85% 1.56%

All Equity Fund 1.63% 1.00% NA 0.90% 1.56%

Conservative Fund 1.20% 0.85% NA NA NA

*

Inclusive of applicable goods and services tax (GST)/ harmonized sales tax (HST).

During the year ended June 30, 2020 and 2019, the Manager voluntarily waived or absorbed certain expenses otherwise payable

by the Funds. The Manager may, at its discretion terminate the waiver or absorption at any time. The amount waived, if any, for

each Fund is shown in the Statements of Comprehensive Income (Loss).

The Management fee payable for the period ended June 30, 2020 and year ended December 31, 2019 are listed below, these

amounts have been included in accrued liabilities on the Statements of Financial Position.

June 30, 2020 December 31, 2019

Canadian Equity Fund 19,001 23,289

Canadian Small Company Equity Fund 2,482 2,894

U.S. Large Company Equity Fund 32,366 39,902

U.S. Small Company Equity Fund 3,850 4,327

International Equity Fund 18,459 21,396

Emerging Markets Equity Fund 11,379 11,611

Global Managed Volatility Fund 29,510 30,432

Canadian Fixed Income Fund 25,038 24,672

Long Duration Bond Fund 292 155

Real Return Bond Fund 3,377 3,785

Money Market Fund 5,115 2,100

U.S. Large Cap Index Fund 4 7

Short Term Bond Fund 3,777 4,020

U.S. High Yield Bond Fund 17,330 15,498

Conservative Monthly Income Fund 528,391 567,297

Balanced Monthly Income Fund 64,637 73,300

Short Term Investment Fund 465 464

Income 100 Fund 7,743 6,754

Income 20/80 Fund 157,767 159,285

Income Balanced Fund (Moderate Fund) 20,593 23,205

Income 40/60 Fund 863,690 886,821

Neutral Balanced Fund (formerly Balanced Fund) 61,372 70,216



June 30, 2020 December 31, 2019

Balanced 60/40 Fund 1,195,721 1,265,221

Balanced Growth Fund (formerly Growth Fund) 101,672 114,472

Growth 80/20 Fund 333,737 350,287

Growth 100 Fund 115,564 123,110

All Equity Fund 9,407 11,674

Conservative Fund 259 268

(d) Fees and expenses payable in connection with the Independent Review Committee ("IRC") include compensation paid to

members of the committee in the form of a US$17,000 annual retainer paid to each member of the committee, insurance

coverage for members, reimbursement of reasonable expenses and travel time and costs of outside advisers retained by the

committee (if any). The Chair of the IRC is paid an additional annual retainer of US$2,500. These fees and expenses are

allocated among the Funds in a manner that the Manager believes is fair and reasonable to the Funds.

8. SOFT DOLLAR COMMISSIONS

The brokerage commissions paid on securities transactions may include "soft dollar" amounts, such as the value of research and

other services provided by the broker. Although the Manager uses best efforts to determine the soft dollar portion of commissions

paid on portfolio transactions of the Funds, the soft dollar portion, in some instances, is not ascertainable. The soft dollar

amounts for the year ended June 30, 2020 and 2019 are listed below:

Soft Dollar Commissions

2020 2019

$ $

Canadian Equity Fund 198,760 114,751

Canadian Small Company Equity Fund 38,294 32,639

U.S. Large Company Equity Fund 38,015 26,226

U.S. Small Company Equity Fund 73,729 42,487

International Equity Fund 197,721 1,605,340

Emerging Markets Equity Fund 24,765 36,175

9. FINANCIAL RISKS

The Funds are exposed to a variety of financial risks: credit risk, liquidity risk, and market risk (including interest rate risk, other

price risk, and currency risk), in the normal course of business. The value of investments held within the Funds will fluctuate on

a daily basis as a result of changes in interest rates, economic conditions, market, and company specific news. The level of risk

depends on the Funds’ investment objectives and the type of securities in which they invest.

The Funds’ overall risk management program seeks to minimize the potentially adverse effect of risk on the Funds’ financial

performance in a manner consistent with the Funds’ investment objectives. The risk management practices include monitoring

compliance with investment guidelines. The Manager manages the potential effects of these financial risks on the Funds’

performance by employing and overseeing professional and experienced portfolio advisors that regularly monitor the Funds’

positions and market events, and diversify investment portfolios within the constraints of the investment guidelines.

Fund of Funds

A Fund of Fund’s exposure to financial risks is dependent on its asset mix of the underlying funds. The Manager focuses

primarily on the overall asset allocation of the Fund. A long-term strategic asset allocation is set for the Fund that the Manager

believes best optimizes long-term risks and volatility with the long-term potential returns. To help achieve consistent results over

a typical market cycle, each underlying fund is diversified by asset class, region and/or market capitalization.

The asset allocation process utilizes proprietary portfolio management optimization techniques based on an asset/liability

framework, combining an optimal portfolio with expected risks and correlations to derive an estimated return expectation for each



asset class. The Funds’ risk management practices include a daily review of risk analytic reports which monitor holdings to

ensure compliance with each Fund’s rebalancing policy. The objective of the rebalancing policy is to maintain each Fund’s

strategic asset mix during periods of market fluctuation. When an individual underlying fund holding has drifted by more than

2.5% from its long-term strategic asset mix, the Fund’s holdings are rebalanced to return relative over or underweight positions

within the rebalancing policy allowance.

Currency Risk

Currency risk is the risk that the value of investments will fluctuate due to changes in foreign exchange rates. This risk arises

when financial instruments (including cash and cash equivalents) are denominated in a currency other than Canadian dollars,

which represents the Funds’ functional currency. For Funds with hedged and unhedged classes, hedged classes of the Funds will

generally hedge their exposure to currency risk, while unhedged classes generally do not.

Interest Rate Risk

Interest rate risk is the risk that changes in interest rates will affect future cash flows or fair values of financial instruments.

Interest rate risk arises when the Funds invest in interest bearing financial instruments. The Funds are exposed to the risk that

the value of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates.

Other Price Risk

Other price risk is the risk that the fair value or future cash flows of financial instruments will fluctuate as a result of changes in

market prices (other than those arising from interest rate risk or currency risk), whether caused by factors specific to and

individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. The maximum risk

resulting from financial instruments held long is determined by the fair value of the instrument. The maximum risk resulting from

financial instruments sold short is unlimited.

Credit Risk

Credit risk is the risk that a counterparty to a financial instrument will fail to discharge an obligation or commitment that it has

entered into with the Funds. The main concentration of credit risk would be where a fund invests in debt instruments and

derivatives. The fair value includes consideration of the credit worthiness of the issuer and therefore represents the maximum

credit exposure of the Funds.

All transactions executed by a fund in listed securities are settled upon delivery using approved brokers. The risk of default is

minimal as delivery of securities sold is only made once the broker has received payment. Payment is made on a purchase once

the securities have been received by the broker. The trade will fail if either party fails to meet its obligation.

Liquidity Risk

Liquidity risk is the risk that the Funds may not be able to settle or meet their obligations on time or at a reasonable price. This is

concentrated in the daily cash redemptions of units. For all the Funds, units are issued and redeemed on demand at the then

current net asset value per unit at the option of the unitholder. The Funds invest primarily in securities that are actively traded

and can be readily liquidated. In addition, the Funds retain sufficient cash and cash equivalent positions to maintain liquidity. In

accordance with securities regulations, the Funds must maintain at least 90% of their assets in liquid investments. This also

helps the Manager manage the Funds’ exposure to daily cash redemptions of redeemable units. All liabilities of the Fund will

mature in one year or less.

Concentration Risk

Concentration risk arises as a result of the concentration of exposures within the same category, whether it is geographical

location, product type, industry sector or counterparty type.

Please refer to the Fund specific notes to the financial statements for fund-specific risk disclosures. Where a Fund only holds one

underlying fund, a look through is performed.

10. RELATED PARTY TRANSACTIONS



An affiliate of the Manager that is a U.S. registered broker-dealer, SEI Investments Distribution Company (“SIDCO”), provided

brokerage services to certain of the Funds, which during the periods ended June 30, 2020 and 2019, resulted in commissions

being paid directly or indirectly by the Funds to SIDCO.

The amounts are as follows:

2020 2019

$ $

Emerging Markets Equity Fund 24,844 -

11. INTEREST IN UNCONSOLIDATED STRUCTURED ENTITIES

INVESTMENTS IN UNDERLYING FUNDS

A structured entity is an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who

controls the entity, such as when any voting rights relate to administrative tasks only and the relevant activities are by means of

contractual arrangements. All of the underlying funds in which the Funds invests are unconsolidated structured entities.

As mentioned in the prospectus of the Funds, each of the Asset Allocation Funds (collectively the “Top Funds”), as described in

Note 1, invests in mutual funds managed by the Manager. Investors of a Top Fund have no rights of ownership in the securities of

the underlying funds. Where the Manager is the manager of both the Top Fund and the underlying funds in which the Top Fund

invests, it will not vote the securities of the underlying funds. The Manager may arrange for these securities to be voted by the

beneficial investors of the applicable Top Fund. However, given the complexity and costs associated with implementing a

flow-through voting structure, it is unlikely that arrangements will be made for a flow-through of voting rights.

Since the Manager manages both the Asset Allocation Funds and the underlying funds, no sales or redemption fees are paid by

the Asset Allocation Funds when they purchase or redeem units of the underlying funds. The Funds do not provide financial

support to unconsolidated structured entities and has no intention of providing financial or other support. The underlying funds

finance their operations by issuing redeemable units which are puttable at the holder’s option and entitles the holder to

proportionate stake in the respective Fund’s net assets. Each Fund holds redeemable shares in each of its underlying funds. Each

Fund’s interest in each of its underlying funds, held in the form of redeemable units, are included at its fair value in the

Statement of Financial Position as Investments (non-derivative financial assets), which represents the maximum exposure on

these underlying funds. The change in fair value of each of the underlying funds is reported in the Statements of Comprehensive

Income as net change in unrealized appreciation (depreciation) of investments.

Additional information on the Funds’ interest in underlying funds, where applicable, is provided in the Fund specific notes to the

financial statements.

MORTGAGE RELATED SECURITIES

Certain Funds invest in mortgage-related and/or other asset-backed securities. The securities include, but not limited to,

commercial mortgage backed securities, asset-backed securities, and residential mortgage-backed securities. The debt and

equity securities issued by these securities may include tranches of varying levels of subordination. These securities may provide

a monthly payment which consists of both interest and principal payments.

Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made

by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many

types of assets, including auto loans, credit card receivables, home equity loans, and student loans.

Canadian Fixed Income Fund

As at June 30, 2020, the carrying value of mortgage related and other asset-backed securities included in Investments

(non-derivative financial assets) in the Statement of Financial Position is $11,984,254 (December 31, 2019 – $14,433,140).

This amount also represents the maximum exposure to losses at that date.



The change in fair value of mortgage related and other asset-backed securities are included in the Statements of Comprehensive

Income (Loss) in Net change in unrealized appreciation (depreciation) of investments and derivatives.

12. NET ASSETS PER UNIT AND NET ASSET VALUE PER UNIT

As at June 30, 2020 and December 31, 2019 there were no differences between the trading net assets per unit and the net

asset value per unit calculated in accordance with IFRS for any Fund.

13. MARKET RISK

Global health events and pandemics, such as COVID-19, have the ability to affect—quickly, drastically and substantially the

economies of many nations and can cause disruptions that cannot necessarily be foreseen. The spread of COVID-19 around the

world in 2020 resulted in a substantial number of nations implementing social distancing measures, quarantines, and the

shutdown of non-essential businesses and governmental services. Further, it has caused significant volatility in Canadian and

international markets which may adversely impact the financial performance of the Funds. The impact of COVID-19 may be short

term or may last for an extended period of time.

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